They were a series of catacombs that ran underneath the city and was where the Bajorans buried their dead which included some of the earliest of kais along with some vedeks as well as others that were revered for their faith. These underground tunnels were a labyrinth which seemed to extend for tessijens with knowledge of them being lost to the Bajorans for centuries to the point that they fell to legend. This meant that they wer not mapped and those that ventured too far into them ran the danger of never finding a way out.
It was constructed by the forebears of the bajorans many millennia ago. One of the legends that surrounded them which partially explained why knowledge of the area was lost was that the ancient Bajorans used them to seek the wisdom of the Prophets. They were used at a time when a believer had lost their faith and would descend into the catacombs to look for it. It was said that the lost soul would wander in the darkness until the Prophets touched them and it was only then were they returned to the light above. This led to them becoming known as the Path of the Lost.
During the Occupation of Bajor, the Path of the Lost was rediscovered by a cell of the Bajoran Resistance five years ago and used it as a bolt hole as refractory minerals below ground in that region inhibited sensor scans as well as transporters. This made it a perfect location for hiding from the Cardassians. It was only after the Withdrawal did the significance of the finding become public with a hope of them being charted by conventional means at some point. (DS9 short story: "Ha'mara")