User blog comment:BrooklynGuido42/Where do non nords go after death?/@comment-1992639-20120714173333

Probably to one of the mentioned (and ofcourse unmentioned) realms within Aetherius, depending on your lineage and on how you lived. This is however overruled by any pacts made with Daedric Princes, which gets you a ticket to Oblivion, possibly permanently (again here too we see that a certain harbinger of the Companions could leave a realm from oblivion post-mortem). On a rare occasion some unfortunate soul is at the wrong place, at the wrong time and gets caught in a either a Soul Gem or is dragged into a realm of oblivion such as the Soul Cairn.

As for our Dragonborn, Dovah souls do not pass away, but Tsun mentions that he'll see the dragonborn in Sovngarde again after their death. Although that may be a polite way of simply acknowledging the actions of the Ddragonborn. Tiber Septim was the only mentioned dragonborn that passed away and he became one of the divines and that example obviously isn't default. Maybe the dragonborn's soul is reborn into the next dragonborn every time, where the most recent dragonborn (the player) will be the last as the prophecy has foretold, as they served their purpose ending an ancient threat.