The arrow dictates which divinity has divinity over another divinity. Having divinity (div for short) over another divinity mean you will do more damage to and take less damage from that divinity (and any divinity that has div over you will do increased damage to you and take less damage from you).
The Neutral divinity has no bonus or penalty to or from damage when in combat against any other divinity (including other neutral divinity characters). They also cannot use Embers. They can still benefit from blessed equipment from the other five player divinities (so deck your gear!).
There are also two other divinities not on this chart Holy and Evil. They are not available to players (at the time of this writing). I am also not sure how the Neutral divinity works in regards to them (anyone able to provide this info?).
Fire Divinity
Deity Name: Pyron
Pyros is the physical, and metaphysical, embodiment of both War and Destruction, which go hand in hand, among the Gods and Goddesses. He reigns over the element of Fire.
Night Divinity
Deity Name: Nox
Nox is the physical, and metaphysical, embodiment of Death and Despair among the Gods and Goddesses. She reigns over the element of Night.
Earth Divinity
Deity Name: Terra
Terra is the physical, and metaphysical, embodiment of Creation and Life among the Gods and Goddesses. She reigns over the element of Earth.
Storm Divinity
Deity Name: Voltus
Voltus is the physical, and metaphysical, embodiment of Sound and Silence among the Gods and Goddesses. He reigns over the element of Lightning.
Water Divinity
Deity Name: Riva
Riva is the physical, and metaphysical, embodiment of Peace and Joy among the Gods and Goddesses. She reins over the element of Water.
Neutral Divinity
Deity Name: Nethys
Nethys is the balance in all things. Little is known of this diety since Nethys seldom takes a direct hand in mortal affairs.