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(READ DESCRIPTION FOR HELP!)
Meet Delphine in Riverwood.
Meet Malborn in Solitude.
Give Malborn your equipment.
Create a distraction and get away from the party.
(Optional) Retrieve your gear.
Search for information about the Dragons returning.
Escape the Thalmor Embassy.
Talk to Delphine.
If you kill the male prisoner before escaping the dungeon and/or questioning him, the quest will glitch; you will be stuck in the embassy with no way out.
The chest where you retreive your items may not have your items as the door leading into the room may glitch making Malborn unable to lock the door. Even restarting the quest may not help it.
Some players, upon completion of Diplomatic Immunity, do not receive the quest, A Cornered Rat, and cannot progress the main questline. Affiliation with the Thieves Guild is speculated as being an issue, but is not confirmed.
Attacking and killing people within the Embassy before doing this quest will cause it to glitch and the doors to be locked, and so are unable to enter Embassy building. You are also unable to leave the Embassy, or do anything except run around the front courtyard. Additionally a dragon may spawn outside the Embassy again locking you in the courtyard until the guards kill the dragon (which may never happen due to the large fence around the property). An easy fix is to reload an autosave and head north to the Embassy, kill the dragon, then proceed with the quest.
Sometimes Malborn spawns glitches and he appears on the map to be halfway between Ilinalta’s Deep and Fort Greymoor. Since you can’t continue the quest line, nor leave the party, the only option is to backtrack to a previous save point. The reason for this glitch is unknown.
When you’re at the party and talking to people, they slide around instead of walking. When you speak to Malborn, when he’s beside the door, he will glitch and either slide or not move. You won’t be able to open the next door. (Only way to fix this is to leave the party through the front door and then come back in and do everything that you must do inside, all over again).
Sometimes upon clearing the dungeon in the Embassy, regardless of dialogue options with the prisoner, the event with Malborn and the soldiers entering the dungeon will not occur, and the quest will not continue. Reasons for this glitch is unknown, and no solution has yet been found. (Had to start a new character).
To be safe, it is advised to put all gold into a chest in your home or given to Delphine. The quest may/will take any stolen portions of gold you may have. I think this is only stolen coins but be safe. I lost 30,000 gold coins from this quest. (needs confirmation whether it’s a bug or truly is just stolen coins) (XBox 360)
You can walk through the door of the cell the prisoner is in. Get REALLY CHEAP games at