Your purpose is to follow the path that leads up and around the mountain as you chase a glowing fuzzy orb. The orb leads you out of Thule, so we’ll ignore the orb until we’ve got everything in Thule ...

If you haven’t played as Bayonetta since completing Chapter 9 - Learning to Fly, you’ll want to take some time to check out the skill tree for the new weapons and summons she earned from that chapter.