Pilgrim Butterfly

Lore
The Soul of Dragonslayer Armour is the only mention of these butterfly creatures, so, speculations are bounds whenever you talk about them. When you look up closely though, closer than the game intends you to ever get, you'll see that they're flesh and bone, and they're almost bent backwards with a rib cage jutting outwards. Now, their name is one of the biggest clues that we have, and the word "pilgrim" should make you think of the Pilgrims of Londor, who all died on their way to the peak of Lothric.

And just like these pilgrims, these pilgrim butterflies fly upwards, to the peak of Lothric as well. And in both these cases, with the Pilgrims and the Pilgrim Butterflies, we currently have no real idea why.

Trivia

 * They are controlling the Dragonslayer Armour
 * The trees in High Wall of Lothric May resemble the Pilgrim Butterflies