First off, I edited this one because the last answer was, "In Lumbridge, lol." Not helpful at all. So, here's the true answer. It can be found east of the mini-farm area where there's chickens and onions. It's in a small house, if I do remember. Climb down the ladder, then you should be where you need to be.
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east of the Lumbridge Castle, then you will see the Defense Tutor(which is his guild).
The Lumbridge Guildhouse aka the Thieves Guild is located in Lumbridge north of the castle. The entrance is a trap door located behind the house just past the house with the furnace.
The Lumbridge Guild House is basically the new thieves guild. Thieves guild is not a proper guild so you have to do quests to help expand but the quests are not on the quest list. It looks rubbish at the beginning but trust once you do all the quests or even one it is awesome. To get there go to Lumbridge Castle and walk along the path to the North. Go past the furnace and to the back of a house which is just past the second (wooden) bridge. At the back of the house is a trapdoor go inside the trapdoor and there will be a room in front of you enter it. Congratulations you can now start the Thieves Guild quests by talking with Darren Lightfinger. To help with the quests and to see how big the guild grows to go on this website below.
South of Lumbridge. Lumbridge is the city where you start playing, and where you end up if you die, or do a home teleport.
Lumbridge Kitchen Dungeon.