Thanatos rests his scythe against the ground and thinks of a simple way to put this. He could go into many details on such a broad question, but he'll answer the more specific ones first.

"Gods do live in the Underworld, mainly the chthonic gods like my mother, siblings, and myself. We serve Lord Hades, Lord of the Dead, and his House. What the dead do depend on what they did in life, and that also determines where in the Underworld they reside for the rest of eternity."