This well, which doesn't look like much, is located in southwestern Ciceros Strait, in the Triton Village Ruins at the intersection of coordinates A-7, A-8, B-7, and B-8. It is first discovered by the player at a point rather early in the main storyline.
[WARNING: This section contains spoilers relevant to the main storyline of Endless Ocean: Blue World.]
When the player first discovers the Well, they are exploring the Triton Village Ruins with Oceana after the discovery of an ancient bracelet (called the Triton Bracelet) that directs them to an area surrounded by whirlpools, which is assumed to be the southwestern area of the Strait. However, the player and Oceana discover that they have to explore at night, due to the undines only becoming inactive at this time, and they return when the waters are dark.
After doing a little exploring, the vicious legendary shark Thanatos appears, with several of his Great White Shark cronies in tow, and begin attacking the player. Oceana and the player decide to escape into the Well, as Thanatos is far too big to follow, and discover that it actually leads to the Spiral Tower and subsequently Valka Castle itself.