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[Thisfox]

I've been trying to get to the (endlessly deep down below) magma layer. I have finally reached cavern 3, and am digging past it.... when I find this:
  . . .

That's a human merchant, a yak, and on the next level up, a human swordsman. Yes, we were just visited by merchants (with carts though) and it is summer. But this is the third level down underground cavern, which is floored and walled off, and has been ever since I broke through the ceiling of it in winter.

The cavern is 106 levels underground. I checked.

What on earth are they doing there? Will I be able to put in a trade depot down there? It would, I guess, be massively convenient to live down that far... (I know to deconstruct the original trade depot) Should I be finding out how to save and report a bug? They don't seem to have carts. Or room for carts. That could be a hassle. We traded with the surface human merchants just fine... I wonder if these guys are different to those merchants we traded with...

[Witty]

Yeah, post your save on dffd and report it on the mantis.

What does the (u)nits screen say they are? Friendlies, merchants, or something else entirely? Where are they pathing? Are they going for a map edge, heading towards your depot or just standing around?

I've had human merchants (that weren't in charge of the wagons) use the underground as a means to leave, but that clearly can't be it. AFAIK, the underground tunnels aren't actually used by the AI yet, and merchants don't exist as actual traveling groups yet. So I'm guessing they must be related to the caravan that arrived earlier, somehow.

[Thisfox]

They were called merchants. They were merchants. They even had a "caravan" of a single baggage yak. The walkways through that cavern complex are only one step wide, so they couldn't take the carts. The carts up top left normally with no issues.

[LMeire]

"You're gonna get us killed on day, Bob. You and your 'scenic routes'- I should have left with the wagons, this is worse than that time in the desert!"

[Nikow]

I had the same but in first caverns. Meybe your surface is not easly accesible? In my world humans had 2 dwarf fortresses, and i was thinking it's a nice feature. I made route from ground to caverns. My fortress was made on island, i was thinking it's the reason why merchants are comming by caverns.

[Findulidas]

Could also be that they conquered or where conquered by dwarves or goblins and then just went by the caves like the rare invaders sometimes do.

[m-logik]

It looks like that isn't the cavern proper,  but a downward passage. Like a small cave system linking two (or more) cavern levels. If you had cavern level two open, then the merchant probably saw a "shorter" path to a map edge going through the caverns, which path seems to have included a downward passage that you may not have even discovered yet. The lack of a wagon isn't especially concerning; merchants will often arrive with a combination of wagons and pack animals without them. I've often seen cases where all of the merchants that weren't leading a wagon try to leave through the caverns, sometimes getting stuck or attacked.

[Thisfox]

So... you're saying they split up? Because I watched the caravan leave by the surface, four wagons strong.... I did not however check on their names in each wagon or anything. How odd.

I got the usual fanfare when I got to cavern #3, btw, which said that I'd discovered a passage deep underground or some usual hoorah. I promptly walled it off, as it was barren with no plantlife, same as cavern #2, and started digging around past it.

"You're gonna get us killed on day, Bob. You and your 'scenic routes'- I should have left with the wagons, this is worse than that time in the desert!"

"No, no, this is a shortcut! Those dwarfs always survive down this low... We'll meet up with Steve and the rest of them at the other end! I've seen a map!"

[m-logik]

Yes, they'll split up. Since they all spawn in the same place at the edge of the map their path to your fort will be pretty much identical, but once they leave they each figure out theur own path off the map. The ones with no wagons aren't constrained by the presence of stairs or narrow hallways, so they could very well decide to blaze a trail through the caverns. I think it's strange (to say the very the least) that anyone but a dwarf would consider such a thing. And yet I have seen many an elf and human wander off into the deep dark. Good luck to them.

Also, downward passages should generate their own separate announcement. I'm pretty sure it's just "You have discovered a downward passage."