Coldharbour is the plane of Oblivion that is associated with Molag Bal. It resembles that of Nirn, but the ground is nothing more than sludge; the sky constantly burns, and yet the air is beyond freezing. Even an alternative Imperial Palace, as described in The Doors of Oblivion, is known to be there, but dripping with blood and laden with corpses. It is surely one of the most inhospitable realms of Oblivion.
Since Molag Bal's sphere is domination and the enslavement of mortals, and because he is known as the King of Rape, it is no wonder that any mortal entering the realm is captured and enslaved. It is known for its vast slave pens and dead abandoned houses.
Daedroths are known to wander the realm and to be among the servants to Molag Bal.
Some believe Coldharbour to be a premonition of Nirn's future.
It was revealed in Dawnguard through conversation with Serana and Harkon that those females who were turned into Vampire Lords during a ritual with Molag Bal were known as the Daughters of Coldharbour.
In The Elder Scrolls Online, Molag Bal tries to pull Nirn into Coldharbour.