Are you asking how to find the first tunnel entrance, or the other ones after the first. The first for both can be found by playing the main missions. You can find the New York one earlier by searching the southern portion of New York.
Now after finding the first, you have to search the underground tunnels to find the other ones.
If we don't study the mistakes of the future we're doomed to repeat them for the first time.
They're just a series of easy mazes with some brief problem solving, climbing around the other side to open a door, blowing up a wall, figuring out where to get explosives to blow up said wall, etc. Then there's a couple of puzzles that give you the answer in a brief bit of text.
Once you enter a fast travel location just start exploring, go ways you didn't go last time, etc.
"invade some poor sap and jihad bomb him" - LazyKenny