Labyrinthian is a massive ruin complex located southeast of Morthal. In addition to Labyrinthian itself, the exterior of the ruin also houses entrances to two other dungeons: Shalidor's Maze and Lost Valkygg. The Dragonborn can enter either of these any time upon arriving at the ruin, but s/he will only be able to enter the interior of Labyrinthian itself in The College of Winterhold questline.
The Dragonborn is hardly the first Elder Scrolls hero to venture into Labyrinthian; in fact, the Champion of the very first Elder Scrolls title, Arena, was also required to explore the Skyrim ruin for the purposes of retrieving a Staff (or at least part of one).
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