Head west along the coast from Winterhold. About halfway between it and the tower stone you will see a statue of Talos and small lean-to. There, you will find a body on a bedroll with a sad note beside it. Off in the distance, you will see several upturned wooden boats, one of which is pulled against the shore. Dive under this one and a mast will eventually loom out of the murky water, followed by a ship split in half. This area is deep, that's an understatement. Diving even deeper reveals a second ship. The ship graveyard is Pilgrim's Trench. I don't know whether there are more than two ships as I drown at this point, it's hundreds of feet deep.

Get yourself a stack of waterbreathing potions or a helm with the waterbreathing enchantment, problem solved there. Nice find.

Nothing that amazing in them, just random loot chests, i was down there for a while.

There's a dragon priest mask with waterbreathing btw.

This^

Or use a potion.