Wizards of the Coast provided a really cool explanation of the events leading up to Theros: Beyond Death and what happens during this expansion. It's a good read and will bring you up to speed on what type of turmoil Elspeth has found herself in this time around. All credit for the story goes to WotC, I just added the images.
Elspeth was dead.
But we must begin far before that, centuries ago. Before the gods of Theros rose to power, the titans—horrific primal urges made flesh—roamed the mortal realm, sowing death and destruction in their wake. The mortals, powerless to defend themselves, turned to prayer in their hour of need. From this prayer, this concentrated devotion, sprang forth the gods themselves.
Imbued with incredible power by the faith of mortals, the gods sealed the titans away in the Underworld. Klothys, the god of fate, volunteered to act as jailer and sequestered herself in the Underworld for eternity. While Erebos rules this realm beyond death, it was Klothys who acted as eternal seal, ensuring the titans remained trapped.
And so, the gods ruled, confident in their position that they had so rightfully earned, until the satyr Xenagos presented a new threat. By harnessing that same power of devotion, he ascended to godhood himself, revealing an unsightly truth to the gods—they were replaceable.
The sun god Heliod sent his champion, the Planeswalker Elspeth, to destroy Xenagos—and she succeeded. However, the fact that Xenagos ascended at all haunted him. If the people of Theros looked up to Elspeth more than Heliod himself, she would surely take his place in the pantheon. Fearful, Heliod struck Elspeth down in her moment of triumph, casting her into the Underworld to be forgotten.
Elspeth was dead.
But her story was not yet over. Another Planeswalker lurked in the shadows of Theros—the nightmare mage Ashiok. Ashiok lived for fear, believing it to be the great equalizer of all things. Thus, while Elspeth should have received eternal rest in Ilysia, the Underworld haven of fallen heroes, she was instead visited by constant nightmares from her past. Of Daxos, her former love, whom she was tricked into killing. Of Heliod, striking her down with the spear she had wielded in his name. And of her childhood torment at the hands of the wretched Phyrexians.
Two things came of this. Ashiok's visions are more real than most, and in one of them, Elspeth seized Heliod's spear Khrusor. When the vision had passed, a twisted version of the spear remained, dripping with darkness and power. Secondly, Ashiok learned of the Phyrexians' existence and promptly planeswalked away to learn more of these true living nightmares.
Meanwhile, the god Heliod contemplated the fragility of his immortality. He would not allow anyone to take his place in the pantheon—not even the other existing gods. To that end, he pulled the soul of the oracle Daxos and transformed him into his champion in the mortal realm. Now a demigod, Daxos was instructed to remove all trace of the other gods from the great city of Meletis.
The other gods, refusing to stand for such an affront, called upon their own champions from the Underworld; with this, the gods were at war. And when gods clash, mortals suffer the consequences. One such consequence took the form of rifts to the Underworld from which countless monsters poured forth. Erebos, the god of the Underworld, was consumed by this conflict. He hated Heliod most of all, and in his rage, he neglected to keep a tight grip on the souls under his purview.
News travels fast, even in the afterlife, and Elspeth heard talk of rifts to the mortal realm. Realizing her work in the Multiverse was not yet done, Elspeth gripped her shadow spear and headed toward a hidden exit in Erebos's palace—but she wasn't the only one seeking escape.
Klothys was furious. When Xenagos attempted to take her place in the pantheon, she was understandably upset. When countless souls dared defy fate to reverse their own deaths, she was livid. She dispatched countless agents of fate to stop these souls from seeking new life. But for Elspeth's, a Planeswalker's soul, she needed something special. So Klothys weaved her masterpiece—an agent of fate she called Calix. Created solely to carry out the will of Klothys, Calix headed off in pursuit of Elspeth in order to preserve that which should be.
As Elspeth headed toward freedom, she gathered allies. Along her journey, she faced many battles and powerful foes, and she fought them all off. After each victory, she raised her spear high and proclaimed: "Behold, the true Khrusor! Heliod wields a fake!"
She also clashed repeatedly with Calix, emerging victorious every time. After all, she was a seasoned warrior, and he was freshly made. But with each battle, Calix did a little better—he was learning his foe as he learned himself. Still, she defeated him one final time as she reached the exit. Where Heliod awaited her.
Through Daxos, Elspeth's former love, Heliod had learned of her attempted escape. Past the point of reason, Heliod stood in Elspeth's way, refusing her passage out of the Underworld. She could not be allowed to escape. She would be the end of him. She was the cause of all this. Ranting under his breath, he charged Elspeth with his spear Khrusor . . . which promptly shattered in his hands.
For each time Elspeth repeated that her shadowspear was the true Khrusor, the onlooker souls believed her. And it was the power of that belief, that devotion, that caused her lie to simply become truth. Staring down the point of a spear that was no longer his, Heliod yielded. And Erebos laughed.
In Erebos's centuries of existence, no sound had ever pleased him quite like the sound of Heliod's surrender. And Erebos simply took the defeated sun god and placed him beneath a giant boulder, where he would suffer for all eternity, or until he was forgotten by his worshippers above. As for Elspeth, Erebos gifted her his eternal gratitude—and safe passage back to the mortal realm.
After a brief reunion with Daxos, Elspeth planeswalked away. Calix looked on, his very being in agony. It was his purpose to return Elspeth to where she belonged, and now he could no longer reach her. But in his darkest hour, a strange idea sparked within him—and he simply planeswalked after her.