User blog comment:Icemoomoo/What happens to the Dragonboren after he is dead?/@comment-2100388-20111206083840/@comment-2100388-20111206090145

Yes, all go to the realm of the god(s) they worship, Aetherius for the Divines, an Oblivion realm for the Deadra (Hircine for instance). I am not sure if Sovngarde is a part of Aetherius.