Atlantica
Just before you enter this world, a breef scene will show Sora being concerned about entering this world, since they will drown if they enter it. Donald then tells him that his magic can allow them to suvive.
Upon landing, you'll see that Sora now has a blue dolphin tail, Donald now has octopus legs and Goofy has become a sea turtle. You'll then be introduce to Ariel, Flounder and Sebastian, who will teach you how to swim. You mostly have to follow Flounder around. Soon, a bunch of Heartless will appear, and your new friends will hide in a clam. After defeating the Heartless, attack the clam to let your friends out, revealing a save point (type 2). Ariel will then join the party.
Your main object now is to reach the palace. You must follow the tritons on the walls to reach it. You'll also notice that the Heartless are very different than the ones encountered in other worlds, though the Search Ghosts can also be found in Halloween Town. Once you reach the palace, three Screw Divers will follow the party, but King Triton (who are know introduced to) will vaporise them. He'll dismiss the claims of a Keyhole, and will forbid Ariel from leaving the palace. She runs off. You can find her at her Groto.
In the Groto, the music will change, and you'll notice a strange shape on the wall. Now you must follow the dolphin that swims around the area back to the Undersea Valley. Once you reach that area, grab onto it (make sure there are no Heartless around) and it will take you to the Sunken Ship.