Board Thread:Lore Discussion/@comment-173.171.216.186-20150301232734/@comment-121511-20150301235134

Harkon's soul likely went to Coldharbour, as he had made a pact with Molag Bal for his Vampirism. That said, unless ordinary mortals are soul-trapped or claimed by a Daedric Prince, their soul experiences whichever afterlife they believed in before being recycled by the Dreamsleeve. The only souls that go to Sovngarde are those of mortals who believed in Sovngarde, were not doomed to Oblivion, and who died in combat.