The Underworld is a Player vs. Environment (PvE) activity. It is designed to work more like a puzzle rather than just an all-out battle of strength. You can unlock levels with Orbs which are acquired from Arena Chests. The higher the Arena chest rank, the higher the drop rate.

Higher levels need more Orbs to unlock. If a level is unlocked you can repeat that same level as often as you'd like but you will not earn any loot. The current levels 1-10 have an amazing bonus, so go and find out, see for yourself.