Connor MacLeod, a voluntary inmate of the Sanctuary
Immortals who had grown tired of the Game or otherwise requested it, were installed in the Sanctuary, a safe house run by Watchers. The immortals were drugged and held in contraptions intended to immobilize them and ensure mortal humanity would never be ruled by an immortal. Considering the unpleasant nature of the confinement it is possible that some or many of the immortal participants were unaware of how the Sanctuary actually functioned. The Watchers assigned to the Sanctuary were well armed to defend it against attacks.
The Sanctuary was destroyed in the early 2000s by Jacob Kell. Kell beheaded all the inmates, with the exception of Connor MacLeod whom he had been hunting and tormenting for centuries. Connor entered the Sanctuary ten years previously seeking peace from Kell's torments.
Days after the destruction of the Sanctuary Matthew Hale, the Watcher in charge of the Sanctuary, captured and drugged Duncan MacLeod in an attempt to create a new Sanctuary. Joe Dawson and Methos mounted a raid, and freed Duncan.
Duncan MacLeod rescued from Sanctuary
Considering the state of the inmates, the secrecy of the program, and the death of Matthew Hale, it is unlikely a new Sanctuary was permanently established though it is possible. (Joe Dawson killed Hale when Hale attempted to interfere with Duncan's challenge of Kell, Hale intended to imprison both immortals in a new version of the Sanctuary).
Note: In one version of Highlander: Endgame, Methos mentioned that the Sanctuary was built on holy ground. However, Kell beheaded every inmate, other than Connor MacLeod, with no consequences. Since this is counter to the established canon, that immortals cannot fight on holy ground per the Rules, all references to it being holy ground were removed from the revised version of the film. It is possible that the filmmakers interpreted the Rule in question as referring strictly to fighting on holy ground, since Kell's victims were drugged and immobilized, no combat occurred. The footage of the Sanctuary still shows the guardian Watchers wearing coats reminiscent of monk's robes, which could be interpreted to mean the Sanctuary was on holy ground or the Watchers wished to imply the ground was sacred. The removal of the reference to holy ground leads to a logic error in that the Watchers carefully constructed a Sanctuary to deny an ending to the Game with the one caveat that it was wholly vulnerable to an incursion by hostile immortal/s.