Date: 202107
Local time of day: 0601-1200
Location: ZZZ.TRACON, US
Flight conditions: IMC
Weather elements / visibility: 5
Light: Night
Aircraft: B737-800
Operator: Air Carrier
Operating under: Part 121
Flight plan: IFR
Mission: Passenger
Flight phase: Initial Approach
Airspace: Class C ZZZ
ATC / advisory: TRACON ZZZ
Reporter organization: Air Carrier
Reporter function: Captain; Pilot Flying
Reporter qualification: Flight Crew Instrument; Flight Crew Air Transport Pilot (ATP); Flight Crew Multiengine
Human factors: Time Pressure; Communication Breakdown; Workload
Second reporter function: Pilot Not Flying; First Officer
Anomaly: ATC Issue All Types; Deviation - Altitude Overshoot; Deviation - Altitude Excursion From Assigned Altitude; Deviation / Discrepancy - Procedural Clearance; Deviation / Discrepancy - Procedural Published Material / Policy; Inflight Event / Encounter Weather / Turbulence; Inflight Event / Encounter CFTT / CFIT
Detector: Automation Air Traffic Control; Person Air Traffic Control
When detected: In-flight
Result: Air Traffic Control Issued New Clearance; Aircraft Equipment Problem Dissipated; Flight Crew Executed Go Around / Missed Approach; Flight Crew Requested ATC Assistance / Clarification
Contributing factors: Human Factors
Primary problem: Human Factors

Narrative: On approach in to ZZZ; we were cleared direct ZZZZZ intersection and to descend to 3;000 feet There was a thunderstorm cell between ZZZZZ and ZZZZZ1 (Final Approach Fix) on the approach to Runway XXR to ZZZ. We asked ZZZ TRACON (Approach Control) for direct ZZZZZ1 to avoid the thunderstorm cell. We were anticipating a visual approach to Runway XXR because the most recent ATIS (weather report) was reporting only Few and Scattered clouds at the airport with adequate visibility for a visual approach. The TRACON Controller asked if we would be able to 'get the airport?'My First Officer and I were slightly confused by his phraseology and tried to discuss what the Controller meant. At that time; we were within a few miles from ZZZZZ and just about to level off at 3;000 feet. The Autopilot Mode Control panel was in Vertical Speed (Altitude Acquire) and LNAV to ZZZZZ. I was anticipating going to ZZZZZ1 and was ready to change the altitude to 2;800 feet in MCP for the autopilot. We were then cleared on a 160 degree heading to join the final approach course of 128; and cleared for the approach. I didn't hear the Controller say 'maintain 3;000 feet until established.' I selected VOR/LOC and dialed 2;800 feet into the autopilot Mode Control Panel. Because we were in a descent and in Altitude Acquire; the autopilot continued to descend towards 2;800 feet.My First Officer said we were supposed to maintain 3;000 feet. I had missed that part of the clearance so I dialed 3;000 feet into the Mode Control Panel; but by that point the aircraft had descended below 3;000 feet and was continuing to descend and would not ever capture 3;000 feet. I was also trying to slow the aircraft and get it to capture the localizer. Seeing that we weren't going to level off; I tried to use Vertical Speed to make the aircraft climb back to 3;000 feet; but it was continuing to descend. Our descent was exacerbated by the fact that I still had the speedbrakes deployed almost to the flight [descent]. ZZZ TRACON (Approach Control) said he he had a low altitude alert and his MVA [Min Vector Altitude] was 2;800 feet. We were now at about 2;300 feet. I disconnected the autopilot and autothrottles; started a climb and we decided to go missed approach. I finally stowed the speedbrakes; climbed to our clearance altitude and we then got re-vectored by ZZZ TRACON for another approach to Runway XXR and landed safely.


Second narrative: We were being vectored around some weather coming into ZZZ and were given a descent to 3;000 feet and direct ZZZZZ outside of ZZZZZ1 on the ILS XXX. There was some confusion as ATC asked if we would be able to get the airport. I wasn't sure if he meant visually or altitude wise. After a pause; as I pondered his meaning; I responded that we were IMC. At the time; I didn't think we were high; so I assumed he meant visually. Just a couple miles outside of ZZZZZ; Captain asked for a turn to ZZZZZ1. I paused because I was anticipating a vector shortly to intercept the final approach course. I then asked ATC for the turn inbound; and ATC responded that he was just about to give us a vector and then provided the clearance. We were given a 160 heading to join and maintain 3;000 feet until established and cleared for the ILS to [Runway] XXR. This extra communication ultimately caused a delay in getting turned in. Because it all got really busy; I didn't see that Captain dialed in 2;800 feet. So; I don't think it acquired 3;000 feet and was now descending below it. Then I think 3;000 feet was reset into the MCP and yet the aircraft was still descending. All of this was happening while I was replying to ATC and I didn't realize what happened until after we talked about it later. We triggered a low altitude alert; and ATC informed us that we were to maintain 3;000 feet until established. I responded that we were correcting. Captain was climbing back up to 3;000 feet and we were slightly south of the localizer. I figured by the time we got back to 3;000 feet; we would then be high for the approach and not being established on the localizer; I said we should go-around. Captain agreed; and we did. This whole thing took me out of the Green; made me feel rushed and got behind in my responsibilities. A go-around was the best decision.


Synopsis: B737-800 flight crew reported a CFIT event during approach resulting in a go-around. A communications breakdown between flight crew and ATC was cited as a contributing factor.