If you visit Saint-14 in the Tower, he might have a new quest for you. The Momento quest will get you the Bastion Exotic weapon. One of the stages, called Spoken Word, requires us to find and kill Fallen Captains and Servitors on the Tangled Shore.
Fortunately, this is very quick and easy to do if you know where to go. First, spawn in at Thieves Landing, then make your way north from the spawn point. You will come to an area on the left that spawns on a Servitor regularly. Further up, on the right, you will find a Fallen Captain that respawns regularly as well. You can see both locations marked in the image below.
Just stay in the area for a short while, killing the Servitor when it spawns, then moving up to kill the Fall Captain. It should only take a few minutes to cycle through both spawns and finish up this step in the quest. After that, you will need to go and visit the Spider to move on to the next step of the quest.
If you need help with other Season of the Worthy content, we can show you how to start Legendary Lost Sectors, and how to get Warmind Bits, to upgrade your Seraph Bunker. We also have a step by step guide for the Raising our Defences quest that you will need to do to kick off the season properly.