Balteus is a bit of a unique boss — at least compared to what you've faced so far — in that it has a Shield you'll need to knock out before you can get to work on its health bar. Essentially, you need to stagger it with the usual attacks (bullets, missiles, melee hits), at which point it'll land on the ground and be open for meaningful damage. It will lose the Shield completely for a time, but it'll come back soon after. You need to take full advantage of these windows to ensure maximum damage is dealt.
Balteus will spend the first phase throwing missile barrages at you, which can be avoided to a degree by using an Assault Boost and then dodging in the air. When it reaches roughly one-third of its health left, it'll get a gigantic flaming sword out, which deals huge damage. Fire can also be spread along the floor in combination with missile barrages.
This will prove to be far and away the most difficult boss encounter you've come up against so far. We recommend playing it aggressively, trying to get its Shield down for a stagger as soon as possible. You'll then want to keep that aggression up and continue to stagger it before it can regain its Shield. You're able to stagger two or three times before the Shield returns, which is enough time to deplete roughly 50% of its health. Once that happens, retreat when you see Balteus turn white as it's about to trigger an explosion. From there, the flaming swords come out and it becomes tougher to stay in close proximity to the boss.
However, don't stray too far as then the missile barrages return. Pick your chances and close in for further staggers, and you'll eventually kill the boss. If it feels like your strategy isn't working, this is the boss you'll want to experiment with. Change your loadout and your weapons to see if anything works better for you. Close-range weapons work well, while Missile Launchers are good for the Shield and stagger gauges at a distance.