As part of the new update, there is the Underworld set of Factions. Each faction has a short quest line (7 battles) to complete before it unlocks everything else. Once you complete it, you have the option to undertake a Delve.
The Delve is similar to the Arena/Explore mechanic in your basic kingdoms. In these however, the rules might be a little difficult. You are able to bring 4 troops in that are limited by the colors of that Faction. For example, the faction All Seeing Eye is for Blue and Green troops. Whichever troops you bring must have at least one those colors to be part of your team (it doesn't appear hero weapons are limited by this, but that may be an oversight rather than the intended mechanic). This means that if you want to balance out with all 6 colors, it might be a little hard as they all will overlap of some sort.
Once you're in the Delve, you will have a set of battles to take part in along a map. The goal of this achievement is to complete your Delve without ever losing a troop. Any troop that is lost/killed during a battle is lost for the rest of the fights during your current delve. If you've been leveling a team and have a set of Mythic troops (or troops upgraded to mythic), then the Level 20 Delve shouldn't prove too difficult (the Level 20 battles are really easier than the Pet Battles from the last major updates). It would also be to your benefit to work on leveling your Kingdoms to get additional bonus points to your stats to make this even easier.
The one thing I can't say for sure (because I went for the most loot) is whether you need to only win the 3 battles required to complete the boss, or if you need to do all the battles without losing a troop. I went for all fights in the room to boost the amount of loot I acquired, but I would estimate you only need to do enough to beat the final boss in the room.
EDIT: According to comments, it is possible to just beat the boss of the delve and then leave without losing a troop to still get the achievement. I'd still recommend to do all the battles since you really need to get the most loot possible to continue working towards the other achievements.
Note on Power - My Power Level when I completed this was just under 10k as a team I threw together with not much planning or thought for cohesion and balance. It had a couple of mythic base level troops though and the non mythic base were upgraded to that level (Krystenax and Black Manacles +9 Hero). This obviously isn't required, but just a note of how I approached it.
- Reach the Underworld by hitting the compass looking button in the middle of the menu bar.
- Purchase the Faction (it's not too expensive in terms of gold especially if you've been playing the game during all the updates.
- Complete the Quest Line for the Faction to unlock Delves
- Do a Delve and lose no troops