Official Canon Edit
Lion was found on the Feudal world of Caliban by a group of knights known as The Order. He was raised by his foster father, Luther, and quickly became the leader of the Order, slaying the great beasts that lurked in the woods. When the Emperor found him, he was given command of the Dark Angels legion, and trained them in the ways of the Order.
Horus Heresy Edit
Because Luther and a number of other Dark Angels had grown restless, Lion had ordered them to stay behind on Caliban until he could ascertain their loyalties. Meanwhile, when Horus' betrayal became known, Lion attempted to reach Terra, but was waylaid by Warp storms and found his way to Macragge. There, he and Roboute Guilliman agreed to name their brother Sanguinius the Regent of the Imperium Secundus, until contact with Terra could be restored.
One of the traitors, Konrad Curze, appeared in Ultramar to keep the loyalists busy. Lion chased after him, heedless of the collateral damage he caused to Ultramar; when Curze was finally caught, he laughed as he revealed to Guilliman the destruction his brother had caused.
The remaining loyalists made it to Terra, but were too late to stop the Emperor from being mortally wounded. Lion and his men would return to Caliban, only to discover that their home world had been thrown into chaos - quite literally. Various factions among the Calibanite Dark Angels were fighting each other, most of them under Luther, over control of a daemon buried deep within the planet called the Ouroboros. In the ensuing battle, Caliban was completely destroyed, save for the Dark Angels' fortress, The Rock. The Calibanite Dark Angels became known as the Fallen, and were scattered across time and space by the explosion. Lion, who went down to confront Luther, was never seen again.
Unknown to the Dark Angels, Lion still lives, but is hidden deep within the Rock in a stasis pod, protected by the Watchers in the Dark. Luther supposedly knows this, but is too broken and insane to give a coherent response to his jailers.
TTS Canon Edit
Rogal Dorn tells the Emperor that he knows that the Lion is not lost in the Warp, implying that he's aware of his brother's fate. Rogal would know for a fact that Lion didn't go searching for Russ in the Eye of Terror, since he had already gone missing by the time that the Codex Astartes was written, and was last seen heading for Caliban.
The Emperor described Lion as "both a self-absorbed spiteful envious prick, and an honorable, courageous and dutiful warrior at the same time. Fucking confusing." This is in reference to his inconsistent characterization in multiple novels, in part due to his nature of being a noble leader but also very secretive.