We've seen him since the refusal to regenerate in the Last of the Time Lords.
He was brought back by a cult of followers, using the Ring we saw on the Pyre and using his Wife to get Biometric data for him, although there was a problem in how he was resurrected, relating to her failed attempt to destroy him for good.
In the end, we see him come to realize
the constant drumming in his head that has influenced much of his life has been a side effect of Rassilon setting him up to use as a way to return from the Time Lock.
The last we see of the Master is him choosing to intervene in Rassilon's parting stab at the Doctor, resulting in him (apparently) being sucked back into the Time Lock with the rest of Gallifrey.
That being said, we're only ASSUMING that's what happens; we now know that
the doctor has rescued Gallifrey, but that it's lost in some dimension
That being said, either A.) The master (now Mistress) may have escaped it, or B.) What we saw might not have resulted in him being pulled back into the Time Lock at all, but might relate to why he had to regenerate.
As to how he could be within the Nethersphere, the Doctor himself mentions that since the Master is assumed to have a Tardis, AND the Nethersphere is actually Time Lord technology, he may have set it up in the distant past -- he's able to enter it, because he's the one who set it up to begin with.