You have to uncover and kill: Zoisme, Chrysis, Harpalos, Diona, Melite, and Iokaste the Seer.
The clue (Zoisme's Journal) allowing you to find Zoisme is in the chest in the Wolf Den in Phokis.
Zoisme can be found in the Wild Bear den in Malis.
Items: Helmet of the Immortal (Legendary Head, Immortal Set), Symbol on Zoisme's mask (Cultist Clue)
You will face Chrysis in the main story / odyssey quest Ashes to Ashes or, if you did not kill her in this quest, in the quest Death Comes for Us All.
Items: Gauntlets of the Immortal (Legendary Arms, Immortal Set), Letter to Chrysis (Cultist Clue)
A clue (Letter to Harpalos) about this Cultist drops from Harpalos. You can find Diona on the Kythera Island. You must complete a series of quests for her starting with quest I, Diona and finally defeat her in quest By the Fates.
Items: Armor of the Immortal (Legendary Torso, Immortal Set), Letter to Diona (Cultist Clue)
One of the clues (Letter to Chrysis) drops from Chrysis. You can get another clue (Follower's Note) by killing one of Ares's followers, for example by doing the Revenge Served Cold quest in Messara.
Harpalos is hiding in the Cave of Ares on the island of Keos.
Items: Boots of the Immortal (Legendary Legs, Immortal Set), Letter to Harpalos (Cultist Clue)
The first clue (Letter to Diona) about this Cultist drops from Diona. To get the next clue (Information on Melite's Whereabouts), you must complete a series of quests for Leiandros in Pephka. The first quest is Minotour De Force, and you will receive a clue after completing the quest No More Bull.
Melite can be found in Kresilas's Residence in Kydonia in Messara.
Items: Waistband of the Immortal (Legendary Waist, Immortal Set), Sage's letter to Melite (Cultist Clue)
To unveil this Cultist's location on the map you need: Symbol on Zoisme's mask, Letter to Chrysis, Letter to Diona, Letter to Harpalos, and Sage's letter to Melite.
Items: Rod of Asklepios (Legendary Staff), The Ghost's Whisper to Iokaste (Cultist Clue)
Iokaste the Seer can be found in Anavatos Ruin on the Chios island.
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