Glad it wasn't just me who felt the route could be better signed. Found this website which has a plan of the route. They say it's well signed; I don't believe that...
https://urbanpartners.london/wellbeing-walk/
They also recommend another route south of Euston Road, but that seems a crazy way to go as one has to cross the busy Euston Road twice!
I'll just stick with my usual (direct) route in future.
Here is my recommended foot route Euston to St Pancras route. Strictly speaking, it isn’t all legal on a bicycle so I would never recommend that you cycle it. I would never do such a thing myself, of course…
Exit Euston by stairs on east side to Eversholt St.
Cross Eversholt St using the pelican crossing and then turn almost immediately right into Doric Way.
Follow Doric Way for a short distance, take the second turning on the right which is a narrow passage marked Churchway (confusingly, the first turning on the right, a rather wider road, is also called Churchway; you need the narrow passage with the Islamic Cultural Centre on it).
Emerge from Churchway onto Chalton St and then go almost straight across keeping the Somers Town Coffee House (actually a rather nice pub) on your right. Go through the gate in the iron railings and keep going straight, keeping the block of flats to your right. Go through the second gate and emerge onto Ossulton St. Turn left onto Ossulton St. (I have done this walk many times and have never known these gates to be locked. But admittedly, I have never attempted it at 3am.)
Take the next available right. Under normal circumstances this would be Dangoor Walk but this is currently closed because of some ongoing repairs to a building. So at the moment, carry on a little further and turn right into Brill Place.
Dangoor Place emerges virtually opposite the side entrance to London St Pancras International. From Brill Place you need to turn right and go down Midland Road for a short distance.
If you are heading for King’s Cross, go straight on through St Pancras station and you will emerge virtually opposite it.