Sometime after the 12th/13th cycle…
Locke Cole is Narshe’s resident “treasure hunter” who saves Terra from the Empire. Throughout his journey as a Returner, he attempts to save protect the female party members, namely Terra and Celes. His desire to protect women stems from the guilt he felt from being unable to save his love Rachel.
When did Materia call Locke Cole to World B? The most likely scenario would be the year during the World of Ruin. During this time, Locke:
hears a legend of the legendary esper Phoenix said to revive the dead. He wants to use it on Rachel and heads for the Phoenix Cave where the rest of the party locates him and invites him to Kohlingen.
So then he might have arrived in World B while in the Phoenix Cave, except for one detail: his bandana. It’s hard to tell when Locke is in his sprite form. Yet, he should have a bandana when we first meet him in the Phoenix Cave. As the Wikia explains:
Locke finds an injured seagull and bandages it with his bandanna.
In his Final Fantasy Dissidia NT appearance, he’s wearing his Amano design. Yet, he’s also wearing a bandana. This might place him after he saves Terra but before the World of Ruin.
Yet, as the official Dissidia Locke Launch trailer describes:
Lock gets transported into Dissidia via the Phantom Train. He awakens with no memory of how he got here, but his thieving skills remain…