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The King's Brand is located in the Cast-Off Shell in Kingdom's Edge, guarded by Hornet. After Hornet is defeated, the King's Brand can be acquired at the very end of the Cast-Off Shell.
Tiny thing... Oh hmm... The mark of Wyrm you bear. Is it change you seek? Or to save this ruin?
That choice is yours. Always the smallest creatures that attempts the largest things.
Eternal Emilitia
Oh... hmm... Could it be? You've returned at last? No. No...
Oh pardon me! For just a moment, I mistook a certain quality about you. You seemed almost... regal.
Silly, I know. It's clear you're not of high birth, wandering about all dirty and tattered like that.
Steel Soul Jinn
...A King, the tiny It becomes. Jinn knows that mark, but cannot bow.
Jinn's masters are other... minds other... Not order. Not order, they seek.
Mask Maker
I see another takes mantle of king? Then grim responsibility that shall bestow.
No bug has ever laid claim to this whole. Even the beasts knew their limits and bound their realm at Nest's edge.
It is the ancient caste that made attempt at such vast rule. Hallownest's ruin reflects well those fared attempts.
Midwife
My good friend. You wear that bright mark of relationship. Then you've met her perhaps? Her who'd guard the mark, the Gendered Child. A spritely thing, isn't she?
Pale gift to the Nest and the Beast, fair trade for sacrifice made. Long she's been distant. It'd do our spirits well were she to grace us a visit home...
...He hee. Oh. Hmm. I am sorry. Old memories cause my mind to wander on such silly diversions, especially when I'm oh so famished...
White Lady
It faced the Gendered Child? She's a fierce foe, strong in mind and body, striking reflection of her mother, though the two were permitted little time together.
I never begrudged the Wyrm's dalliance as bargain. In fact, I feel some affection for the creature birthed.
If your paths were ever to align, I imagine you might gain yourself a powerful ally.
Trivia
After the Knight is marked with the King's Brand, the Cast-Off Shell starts falling apart. Hornet saves the Knight from being buried under the shell's pieces.