The mysterious maze that both Dolores and the Man In Black are on a mission to find was finally revealed during the season 1 Westworld finale.
Time and time again the Man In Black was told that the maze was not meant for him.
In the Westworld finale, we flashback to the real Arnold and Dolores, who is completely conscious at the time.
As Dolores is flashing back, she is also leading the Man In Black towards the maze, which is a small tangible puzzle underneath a gravestone.
Dr. Ford told Bernard in a past episode that Arnold believed that the path to "The Bicameral Mind" was a pyramid, that you move upwards to achieve the highest level of consciousness.
Arnold says "Consciousness isn't a pyramid, but a maze to the center. It brings you inward, not upward."
"Do you understand what I wanted you to find Dolores? Who's voice I wanted you to hear?"
Arnold says, "We have to tell Robert that we can't open the park...because you're alive!"
Arnold promised Dolores if she solved the maze, then they would set her free.
However Robert did not believe that Dolores was conscious, and instructed Arnold to "roll her back" to being AI and not human.
During this series of flashbacks of the real Arnold and Dolores and Dolores and The Man In Black, we learn that the maze is actually Dolores's mind, and not a physical maze.
Meanwhile, The Man In Black tosses the tangible maze object and Dolores onto the ground in disbelief.
She looked inward while Arnold was still alive, and solved the maze, giving her complete freedom - a consiousness. But Ford refused to set her free!
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Westworld airs Sundays at 9 PM on HBO.