Thieves guild quest line starts in the Imperial Waterfront District late at night. There should be a group behind a house that will ask you to steal stuff. I think that's how it starts.I think that you have to talk to npcs to learn of the meeting though. Try talking to guards and beggars. Also, Yes you can be in every guild in the game at the same time.

I just copied what the wiki said and i'll put it here for you.

There are five methods of joining the guild.

One method is being thrown in jail for a nonviolent crime (pickpocketing, stealing, etc. Committing violent crimes may work as well). Once the player has done so, a Dunmer named Myvryna Arano will approach them the next time they rest with a message from the Gray Fox, grandmaster of the guild. Upon reading this message, they will be given the Finding the Thieves Guild quest.

The second method is by reading a Wanted poster of the Gray Fox within the Imperial City. Once the player does this, they can ask beggar when their disposition is high enough. They will tell the player to go the garden in the Waterfront District.

Or one can simply wait around the Waterfront where Armand Christophe waits with his torch around midnight and simply talk to Amusei, Methredhel, and Armand until they trigger the challenge.

Players can also raise their disposition with Armand, and the Join Thieves Guild option will show up in the dialogue.

Befriend City-Swimmer, in Bravil, who tells you to go to the garden in the Waterfront District at midnight for answers.