you find nothing of use

Back when most of the cosmology of the setting was established with TESA: Redguard and TES III: Morrowind, there existed a hard and definite delineation: Mundus was the mortal realm where the living reside, and Oblivion was the otherworld.

The Family Shrine Each residence has a family shrine. In poorer homes, it may be no more than a hearth or alcove where family relics are displayed and venerated. In wealthy homes, a room is set aside for the use of the ancestors. This shrine is called the Waiting Door, and represents the door to Oblivion. [...] Oblivion The existence of Oblivion is acknowledged by all Tamriel cultures, but there is little agreement on the nature of that otherworld, other than it is the place where the Aedra and Daedra live, and that communication and travel are possible between this world and Oblivion through magic and ritual. The Dunmer do not emphasize the distinction between this world and Oblivion as do the human cultures of Tamriel. They regard our world and the otherworld as a whole with many paths from one end to the other rather than two separate worlds of different natures with distinct borders. This philosophical viewpoint may account for the greater affinity of Elves for magic and its practices. Foreign Views of Dunmeri Ancestor Worship and Spirit Magic The Altmeri and Bosmeri cultures also venerate their ancestors, but only by respecting the orderly and blissful passage of these spirits from this world to the next. That is, Wood Elves and High Elves believe it is cruel and unnatural to encourage the spirits of the dead to linger in our world. Even more grotesque and repugnant is the display of the bodily remains of ancestors in ghost fences and ash pits. The presentation of fingerbones in a family shrine, for example, is sacrilegious to the Bosmer (who eat their dead) and barbaric to the Altmer (who inter their dead). - Ancestors and the Dunmer

Aetherius, which was first introduced as an obscure magical realm in TES II: Daggerfall, was then elaborated upon to be "the spirit plane" which exists outside of life and death, and - for cultures who believe in it - outside of the kalpic cycle. This is where the original spirits first congealed before Lorkhan's trick bound them to the creation of the Mundus, forcing them to birth their mortal aspects into the world and sundering them from Aetherius, forcing them to live on through their children - thus begetting the mortal races. Hence, for the majority of cultures that acknowledge the existence of Aetherius at all, souls in the mortal plane are considered to be trapped, and Aetherius is elevated as a spiritual goal reached by only the most exceptional.

Humans, with the exception of the Redguards, see this act as a divine mercy, an enlightenment whereby lesser creatures can reach immortality. Aldmer, with the exception of the Dark Elves, see this act as a cruel deception, a trick that sundered their connection to the spirit plane. - The Monomyth

Finally, the magical beings of Mythic Aurbis told the ultimate story -- that of their own death. For some this was an artistic transfiguration into the concrete, non-magical substance of the world. For others, this was a war in which all were slain, their bodies becoming the substance of the world. For yet others, this was a romantic marriage and parenthood, with the parent spirits naturally having to die and give way to the succeeding mortal races. [...] The magical beings, then, having died, became the et'Ada. The et'Ada are the things perceived and revered by the mortals as gods, spirits, or geniuses of Aurbis. Through their deaths, these magical beings separated themselves in nature from the other magical beings of the Unnatural realms. - The Monomyth

Pretty soon the spirits on the skin-ball started to die, because they were very far from the real world of Satakal. And they found that it was too far to jump into the Far Shores now. The spirits that were left pleaded with Tall Papa to take them back. But grim Ruptga would not, and he told the spirits that they must learn new ways to follow the stars to the Far Shores now. If they could not, then they must live on through their children, which was not the same as before. - The Monomyth, Satakal the Worldskin

But this was a trick. As Lorkhan knew, this world contained more limitations than not and was therefore hardly a thing of Anu at all. Mundus was the House of Sithis. As their aspects began to die off, many of the et'Ada vanished completely. Some escaped, like Magnus, and that is why there are no limitations to magic. Others, like Y'affire, transformed themselves into the Ehlnofey, the Earthbones, so that the whole world might not die. Some had to marry and make children just to last. Each generation was weaker than the last, and soon there were Aldmer. Darkness caved in. Lorkhan made armies out of the weakest souls and named them Men, and they brought Sithis into every quarter. Auriel pleaded with Anu to take them back, but he had already filled their places with something else. - The Monomyth, Heart of the World

To reiterate: the cosmology-as-established is that the creation of the Mundus has sundered the spirits who participated in it from Aetherius. Oblivion is the otherworld where both the Aedra and Daedra are known to reside, as that is where their divine realm-plane(t)s are located - that being the eight planets of the Aedra and the innumerable realms of the Daedra.

Upon death, the soul of a given mortal travels to Oblivion as well, not to Aetherius. Aetherius remains solidly out of reach for anyone except those precious few who achieve apotheosis and manage to make the leap beyond the stars on their own, and is inhabited only by the so-called "Star Orphans" - a collective name for the "heroes, gods, and demons" who have transcended and escaped the cycles of the world entirely.

For everyone else, what determines their destination upon death is their spiritual alignment with the gods they worship, which was most cleanly established in the 2005 text The Loveletter from the Fifth Era:

The echo of the Void is Oblivion. The echo of Oblivion is now mortal death. Death results in reappropriation of spirit towards its aligned AE—either to the god-planet Aedra or the Principalities of Oblivion. Vehk's name for this transaction, mentioned above, is "lunar currency".

In other words, mortal souls need help to make it out of the Mundus instead of becoming ghosts or reincarnating. This reasoning is further reinforced in TES IV: Oblivion through Mankar Camoran and his Mythic Dawn Commentaries, which claim that the Aedra have actively "tricked" the mortals into believing that following the Divines offers souls an escape from life and death:

Understood laws of the arcanature will fall away like heat. "First Tower Dictate: render the mutant bound where he may do no more harm. As God of the Mundus, alike shall be his progeny, split from their divine sparks. We are Eight time eight Exarchs. Let the home of Padomay see us as sole exit." - Mythic Dawn Commentaries, Vol 3

More than that, Mankar further suggests that the Aedra have outright concealed the true requirements of escape from the mortals, as the only way to truly transcend mortal death is to achieve apotheosis yourself - which means mantling and subsequently usurping one of the existing divine myths and challenging the authority of the gods that be:

The Tower touches all the mantles of Heaven, brother-noviates, and by its apex one can be as he will. More: be as he was and yet changed for all else on that path for those that walk after. This is the third key of Nu-mantia and the secret of how mortals become makers, and makers back to mortals. The Bones of the Wheel need their flesh, and that is mankind's heirloom. Oath-breakers beware, for their traitors run through the nymic-paths, runner dogs of prolix gods. The Dragon's Blood have hidden ascension in six-thousands years of aetherial labyrinth, which is Arena, which they yet deny is Oathbound. By the Book, take this key and pierce the divine shell that encloses the mantle-takers! The skin of gold! SCARAB AE AURBEX! Woe to the Oath-breakers! Of the skin of gold, the Xarxes Mysterium says "Be fooled not by the forlorn that ride astray the roadway, for they lost faith and this losing was caused by the Aedra who would know no other planets." Whereby the words of Lord Dagon instructs us to destroy these faithless. "Eat or bleed dry the gone-forlorn and gain that small will that led them to walk the path of Godhead at the first. Spit out or burn to the side that which made them delay. Know them as the Mnemoli." [...] Once you walk in the Mythic it surrenders its power to you. Myth is nothing more than first wants. Unutterable truth. Ponder this while searching for the fourth key. - Mythic Dawn Commentaries, Vol 3

This directly echoes the teachings of Vivec, who speaks at length about the nature of apotheosis and its connection to transcending death and the laws set in place by the Aedra:

'They are the lent bones of the Aedra, the Eight gift-limbs to SITHISIT, the wet earth of the new star our home. Outside them is the Aurbis, and not within. Like most things inexplicable, it is a circle. Circles are confused serpents, striking and striking and never given leave to bite. The Aedra would have you believe different, but they were givers before liars. Lies have turned them into biters. Their teeth are the proselytizers; to convert is to place oneself in the mouth of falsehood; even to propitiate is to be swallowed.' [...] 'The enlightened are those uneaten by the world.' - Sermon 21

'Take from me the lessons as a punishment for being mortal. To be made of dirt is to be treated as such by your jailers. This is the key and the lock of the Daedra. Why do you think they escaped the compromise?' - Sermon 32

What is the Psijic Endeavor? The basis for the teachings of the Prophet Veloth, founder of present day Morrowind and father of Dunmeri culture. Veloth describes the Psijic Endeavor as a process of glorious apotheosis, where time itself is bent inward and outward into 'a shape that is always new'. Those who can attain this state, called chim, experience an ineffable sense of the godhead, and escape the strictures of the world-egg. [...] What is the purpose of the Psijic Endeavor? To transcend mortal boundaries set in place by immortal rulers. At its simplest, the state of chim provides an escape from all known laws of the divine worlds and the corruptions of the black sea of Oblivion. - The Thief Goes To Cyrodiil

So to sum up:

The creation of the Mundus sundered the participating spirits from Aetherius. Their corpse-realms are the divine planets which are in Oblivion, orbiting Nirn as the "eight spokes" enforcing the universal structure.

Mortal souls end up in Oblivion, which is the afterlife. Where exactly is decided by what spirits they worship and believe in, as that "aligns" their spiritual destination to the AE of their respective deity.

Aetherius is the spirit realm reached only by those mortals who escape both the "laws of Convention" and "the corruptions of Oblivion", which is to say transcend both the Aedra and Daedra and achieve apotheosis, thereby able to make the leap beyond the stars on their own.

And this is where the consistency ends, thanks to TES IV: Oblivion.

Or more specifically, thanks to the Pocket Guide to the Empire, 3rd Edition (PGE3) which was released alongside TES IV as a successor to the PGE1 that released alongside Redguard.

See, part of the troubles with Oblivion's development is that a significant chunk of the designer team was not present for the beginning - namely the people who were most deeply involved with the esoteric, metaphysical, and cosmological concepts. Kurt Kuhlmann and Michael Kirkbride both left the company after the release of Redguard, and were later contracted to write books for Morrowind; similarly, Douglas Goodall left the company during the development of Tribunal DLC and did not return.

Only after the development for Oblivion had already begun were Kuhlmann and Kirkbride asked to get involved again, and Kirkbride notably was supposed to help write the PGE3 but, while having initially accepted, later asked Ted Peterson to take over due to his other commitments at the time. MK's writing was restricted only to a few lines and concepts in the final text, as his section Imperial Census on Daedra Lords was ultimately cut.

This leads us to the section Arena Supermundus, which offers us out major divergence from the cosmology as established before:

Aetherius, ancestral seat of the Nine Divines and the other original spirits, is the plane of pure magicka. Whereas Oblivion may surround us every night, it is aetherial energy that infuses our daily existence, from highest to lowest, and gives all the races of men, mer, and beast common purpose. Its magic brings the rain to the fields, love to our hearths, and scientific principles to our technological industries. It gives us the very Sun itself. Finally, Aetherius is the home to the Aedra, those cornerstones of the Mundus whose aspects we see in temple, in lordship, and the high walk of heroes. - PGE3

This directly contradicts* the established information about the Aedra and their realms being in Oblivion, as was formerly and consistently stated in several prior texts, and while not a super egregious error in and of itself, it did echo into the rest of TES IV's (and later, even more egregiously, into TES V's) writing as the mistaken idea that Aetherius is somewhere all people go upon death rather than something exceptionally difficult to reach.

*technically speaking, the Aedra do reside in Aetherius in TES III as well, however not in the sense as described here. Rather, their divine myths and patterns are written in the stars, and the spirits that reside in Aetherius are those who mantle said myths and ascend to godhood through them - so for example, Martin Septim mantling Akatosh at the end of TES IV allowed him to "join his ancestors in Aetherius". However, the specifics of the language here are of essence, as the original Aedra that created the world are firmly established to be dead in all but two of TES III's creation myths, and those who reside in Aetherius are their successors/replacements/mirrors created by the efforts of mortal mantlers.

This notion was carried forward into TES V, where we directly visit Sovngarde first hand - which itself gets retconned into being in Aetherius (whereas formerly it was described as an "underworld" directly adjacent to the Mundus, potentially located on the moons) - and see that it is very much populated by souls of regular old soldiers, and that the Nords themselves commonly believe themselves to qualify for Sovngarde simply based on the circumstance of their death, regardless of any heroics or mythic deeds, let alone apotheosis.

This leaves us only with ESO to turn to, and ESO is... noncommital. On the one hand, the Keeper of the Hall directly acknowledges the established difficulties in reaching the Far Shores, lamenting that "there just aren't as many heroes anymore", while sacrifing Sai Sahan at the end of the main quest will prompt the Prophet to explain that his spirit is not in any kind of afterlife but has been dispersed into Aetherius, where he is "beyond life and death". On the other hand, ESO by volume has the single largest amount of sources about souls of the dead going to Aetherius by default, especially in the ever-controversial base game where every other ghost we encounter claims to be from Aetherius.

This leaves the lore in an awkward spot where the mistaken notion has been repeatedly canonized and reinforced, rendering the vast majority of established Aetherius-centric religions completely nonsensical at their core premise - that Oblivion is where the dead go, and that Aetherius is coveted precisely because it spares them the fate of the majority. Hence the confusion.