Lord Walder is the Lord of the Crossing and the head of House Frey. He initially allied himself with King Robb Stark in the War of the Five Kings in exchange for a marriage contract to one of his daughters, but betrayed him at the Red Wedding after Robb broke his vow by marrying Talisa Maegyr, killing Robb, Talisa, his mother, and most of the Stark army.
Walder Frey is the Lord of the Crossing and the head of House Frey, a vassal family of House Tully of the Riverlands. His house is noted for its overwhelming fertility and he has over one hundred descendents. He rules the The Twins and its surrounding lands, controlling the strategically important crossing of the Green Fork. Over the years this great stone bridge and the castles that control it have made House Frey a fortune in crossing fees. He has been married seven times and is almost ninety years old when the series begins
He is known to his liege lord, Hoster Tully, as the "Late Lord Frey" after delaying his arrival to assist Robert's Rebellion until the outcome had already been determined.
Catelyn Stark meets a knight with a group of men at arms of House Frey at the Crossroads Inn and asks after Lord Walder's health. The knight replies that Lord Walder is well and is planning to celebrate his 90th birthday by taking a new wife. Tyrion Lannister laughs derisively at the news, making enemies of this group.
When Robb Stark's army arrives at the Twins on its march south, Robb needs to cross the river to gain a tactical advantage over the Lannister forces. As a Tully bannerman, Walder Frey had been called up, but he had delayed going until he saw which side had the advantage. Now that Riverrun is besieged by the Lannisters, Frey wonders why he should risk their fury. Catelyn tells Robb that Walder Frey is slippery and not to be trusted, despite his allegiance to her father. Fearing that Walder would attempt to imprison Robb and sell him to the Lannisters, Catelyn volunteers to negotiate with him.
On entering the Twins Catelyn finds Walder and his vast brood of sons, grandsons and bastards incessantly bickering. Fed up with their whining, Walder agrees to Catelyn's request to dismiss them - including his new fifteen year old wife, Joyeuse Erenford - while they negotiate. An alliance is formed; in return for permission to cross and the service of Walder's troops, Robb will marry one of Walder's daughters or granddaughters. Additionally Arya, when recovered, will marry Walder's son Waldron. Robb must also take another son, Olyvar Frey, as a squire. Robb consents to the match, even after his mother indicates that Walder's daughters are not particularly attractive.
Lord Walder sends his son Lothar and his great-grandson "Black Walder" to Riverrun to discuss the terms of a new alliance with Robb Stark. Lord Walder demands Harrenhal, as well as the marriage between Edmure Tully and his daughter Roslin.
When the King in the North and his entourage arrive, Lord Walder offers them his hospitality, but cannot keep himself from mocking Robb over his broken oath, insulting Queen Talisa and leering over her. Later, he oversees the wedding of Edmure and Roslin, and the following feast. Once the newlyweds retire for the bedding, he has the halls sealed and gives the cue for his men to slaughter the Starks. He watches in rapture and takes sips from his cup as Talisa and Robb's bannermen are killed. When Lady Catelyn takes his wife hostage in an attempt to save Robb, Walder coldly retorts he will find another wife. Robb is killed by Roose Bolton, who had sealed an alliance with him by marrying his granddaughter Walda, Lady Joyeuse is killed by Catelyn, while Catelyn is killed by Black Walder.
For his part in the Red Wedding, Lord Walder is granted Riverrun and protection from vengeful Northerners by Tywin Lannister. When Lord Walder is informed by Roose Bolton that Blackfish Tully escaped the massacre, he remains unconcerned and takes a time to mock his fallen enemies and rivals.
Lord Walder and the rest of House Frey are now the focus of distaste and hatred for the North and the Riverlands for their part in the Red Wedding, especially since the Riverlands have fallen into disarray and lawlessness since they were granted to the Freys by the Lannisters. A farmer claims that Lord Walder himself committed sacrilege by sharing bread and salt with the Starks and Tullys and then slaughtering them, and that he will "burn in the seventh Hell" for it.
Walder Frey's dominion over the Riverlands is weakened when Brynden Tully, Edmure Tully's uncle and a veteran of the War of the Ninepenny Kings, reclaims Riverrun from the Freys with what remains of House Tully's armies.
Walder learns of the capture of Riverrun, and the rising of the other Riverlands houses, from Lame Lothar and Black Walder, which sends him into a fury. He accosts them for allowing Brynden to escape the Red Wedding alive in the first place, and demands they take back Riverrun. To do so, they will use the captive Edmure. Walder rages that he knows the other Riverlords still laugh at him, and says that, despite his age, he will not die until they choke on their laughter.
During the feast at The Twins and following the defeat of House Tully, Walder Frey argues with Jaime Lannister over House Frey's capability of taking control of the Riverlands. Shortly after the Lannister Forces' departure, Lord Frey gets his food served by a young lady while he keeps complaining about the absence of two of his sons at dinner. She points out that his missing sons are present in the hall, inside the very pie he was eating. The young lady then reveals her true identity, and turns out to be Arya Stark wearing a mask she stole from the Hall of Faces. Frightened, Walder Frey attempts to escape but Arya slits his throat open, the same way her mother Catelyn was killed.
Lord Walder Frey was patriarch to a brood of more than 100 descendants, a result of his many marriages. an attempt to increase his family's stature by engaging one of his girls to Robb Stark failed when Robb broke his promise. Unsatisfied with King Robb's attempts to make amends, Lord Walder wreaked his vengeance by massacring his Stark guests at the wedding of his daughter Roslin to Edmure Tully. Arya Stark, using skills learned from her time in Braavos, reminded walder Frey of his treachery and served him a pie made from his sons before killing him.