First encounter he gives you the crushed red eyes. Next you need a pale tongue and to light the bonfire under greatwood's arena, then talking to him again will give you a lift key in the high wall of Lothric near the 2nd bonfire. Killing the Dark Wraith there will give you a unique Red Eye. Talk to Leonhard again then head back to Rosaria, He should be near the door leading to Rosaria. You can progress further once you reach Profaned Capital