Sensing something amiss, Melisandre walks out of her tent and watches as the Baratheon camp catches fire. In the morning, Davos Seaworth and Stannis Baratheon take stock of the damage wreaked by Ramsay Bolton and his 20 men. Short on food, weapons and horses, Davos tells Stannis there's no pressing forward unless there's a thaw, and not enough supplies to get them back to Castle Black. Stannis reiterates that retreat isn't an option, then joins Melisandre and Selyse. He sends for Davos soon after and instructs him to return to Castle Black to restock. Davos protests that as Hand, he shouldn't abandon his king, but Stannis insists Davos will be the most persuasive messenger. Because Stannis insists his family stays with him, Davos says goodbye to Princess Shireen. He presents his tutor with a carved stag and promises to see her again soon.
Jon Snow arrives at Castle Black with Tormund and the other surviving wildlings. After some hesitation, Ser Alliser Thorne instructs the guards to open the gates to the Lord Commander and the refugees. Samwell Tarly tries to console Jon, who is aware of the hostility being directed toward him, even from Olly. The men of the Watch warily eye the wildlings filing past them in the courtyard.
Jaime Lannister meets with Prince Doran Martell, Myrcella and Trystane to explain his presence in Dorne. He arrived in secret, he says, because of the threat against the princess. Doran watches Ellaria, and restating his commitment to peace, offers a toast to King Tommen. Ellaria refuses to join in, pouring her wine on the floor. Doran agrees to let Myrcella return to King's Landing in deference to Tommen's wishes but specifies that Trystane will go with her, keeping their engagement intact. Furthermore, Trystane will take Oberyn's place on the Small Council. Jaime readily agrees to these conditions. Ellaria is furious, but Doran warns her not to overstep. Doran defers to his son for Bronn's punishment and Trystane agrees to mercy, with one condition. When Bronn is ushered into the room, Areo Hotah cracks him across the jaw.
Arya, in the guise of Lanna, peddles shellfish by the waterfront. She prepares poisoned oysters for the Thin Man, but gets distracted when she sees a party from Westeros docking in the harbor. Spotting Meryn Trant in the group, Arya abandons her task and keeps her eye on him throughout the day. In the evening, Arya follows Trant and Lannister guards into a brothel, watching as he rejects a parade of professionals he considers “too old.” Then a Lannister soldier sees Arya and brings her into the room to serve oysters, and Trant stares at her in her Lanna disguise, as if searching for recognition. The Madame returns and ushers Arya away before he does, presenting Meryn with a little servant girl. Meryn approves. He instructs the madame to procure another "fresh one" for the next night before escorting the girl away. Returning to the House of Black and White, Arya lies to Jaqen H'ghar, telling him the Thin Man was not hungry.
Given the choice of swearing her allegiance or dying, Ellaria tearily kneels before Doran as the Sand Snakes watch with dissatisfaction. Ellaria visits Jaime and brings up his love for Cersei, reminding him that such things would not matter in Dorne. "The only thing that stays the same is that we want who we want," she says. She assures him she knows his daughter was not involved in Oberyn's death.
Stannis goes to visit Shireen and finds her absorbed by "The Dance of Dragons," a history of the Targaryen civil war. The girl marvels that thousands had to die, and her father tries to explain that sometimes there are difficult choices to be made. Sensing his distress, Shireen offers to do what she can to help. "I'm the Princess Shireen of House Baratheon," she says, embracing her father. Shireen is escorted through the camp, but she stops short when she sees the stake waiting her. Shireen calls out for her father, who doesn't intervene. When Melisandre ignites the flame, Selyse has a change of heart and tries to stop the proceedings but is held back. Shireen’s cries fill the camp, and only Melisandre’s eyes stay focused on the fire.
Hizdahr zo Loraq belatedly joins Queen Daenerys Targaryen and her entourage at the Great Pit of Daznak. With prompting from Hizdahr, Dany claps her hands to start the competition. Daario Naharis and Hizdahr argue about which fighter will triumph; Daario champions a smaller, wiry man against Hizdahr’s more muscular choice. Hizdahr's man handily decapitates Daario's.
Hizdahr tries to defend the tradition of the fighting pit, but Dany and Tyrion remain skeptical that the violence is necessary. Their conversation stops short when Jorah Mormont enters the fray to fight for Dany's glory. She starts the fight and watches as Jorah battles for his survival against five other warriors, finally emerging victorious. Jorah turns to Dany in search of a reaction and, getting none, tosses his lance into the stands – striking a Son of the Harpy who was about to attack Dany with a dagger. With that, chaos spreads through the arena as the Sons of Harpy fight their way towards Dany and her entourage. Hizdahr tries to help Dany escape and is killed by the very group he was accused of leading. The remaining members of Dany’s entourage make their way into the pit in search of escape, but are surrounded in the ring, clearly outnumbered. As Dany prepares to die, Drogon arrives, scorching the Sons of the Harpy and innocent bystanders. The Sons of the Harpy attack Drogon, hoping to overwhelm him with their numbers. Dany is afraid they might, and pulls some of the spears from his belly, withstanding his fury. She carefully climbs aboard the dragon and commands him to fly. Jorah, Daario and Missandei watch her take flight from below; Tyrion is awestruck by the sight.
In the midst of a snowstorm, Stannis' camp is sabotaged when Ramsay's men light fires to destroy his supplies. Melisandre is convinced that they need to make a good sacrifice to reach Winterfell, so Stannis reluctantly sacrifices his daughter Princess Shireen, burning her alive at the stake, while she desperately cries out for her parents. Jon and the wildlings return to the Wall, where their welcome is fraught with tension. In Dorne, Prince Doran agrees that Jaime can return to King's Landing with Myrcella, but only if Trystane accompanies them and serves on the small council in Oberyn's place. In Meereen, the fighting pits reopen and Daenerys is stunned to see Jorah fight for her forgiveness. Although he is successful, his triumph is interrupted by a fierce attack by the Sons of the Harpy, who quickly surround Dany and her supporters. Just as hope seems lost, Drogon arrives, and Daenerys mounts her dragon and flies away from Meereen, her followers and enemies watching alike in awe.
During a snowstorm, Stannis' camp is sabotaged when Ramsay's party destroys the camp's siege equipment and food stores, while inflicting heavy losses on the army's horses. Sending Seaworth to the Wall to ask for supplies, Stannis reluctantly decides to sacrifice Shireen, burning her alive at the stake, while she desperately cries out for her parents. Snow and the others return to the Wall, allowing the wildlings to pass South. In Dorne, Doran permits Jaime and Bronn to return to King's Landing with Myrcella, provided Trystane accompany them and serve on the small council in Oberyn's stead. The former also pardons Sand and her daughters. In Braavos, Arya spots Trant accompanying Mace, Margaery's father and the Master of Coin. In Meereen, the fights at Daznak's pit begin, and Daenerys is stunned to see Mormont amongst the combatants. His triumph is interrupted by a fierce attack by the Sons of the Harpy, who quickly surround Daenerys and her supporters, including Mormont. Just as all hope seems lost, Drogon arrives, and she mounts it and flies away from the pit, her followers watching in awe.
In a tent in a frozen encampment Melisandre stares into a fire as snow and wind blow outside. She has an epiphany of some kind and heads out and looks around. She sees tents catch fire all around the encampment, seemingly spontaneously. She sees a horse on fire run by. Ramsay Bolton's group of 20 men is responsible. Davos says no guards raised an alarm. Stannis says to hang the guards. Davos wonders if they are going back to Castle Black. They are not. Nor are they marching to Winterfell. Davos is confused at this course of inaction. Stannis stares at Melisandre and his wife and tells Davos to have the dead horses butchered for meat. Stannis looks at the pieces on his war map. Davos enters and Stannis orders him to go tell the Lord Commander (Jon Snow) to send supplies, horses, and food in return for all the men the Night's Watch needs. Davos doesn't want to abandon Stannis. Stannis says he isn't and tells him not to come back empty-handed. Davos pleads to take Shireen with him since a siege is no place for a little girl. Stannis says his family stays. Davos walks out among the freezing, starving,dwindling men. He goes to Shireen's tent, she's reading a story called "A Dance of Dragons" about an old battle with the Targaryens that split the kingdom. They chat about the story. He gives her a carved reindeer he made. She asks him to make a doe to accompany it. He says he will. She gives him a kiss. He is saying his thank yous for teaching him to read and be a grown-up and, of course, goodbye. Stannis comes to visit Shireen and she tells him about the "Dance of Dragons." She explains about the Targaryen history. She says she thinks the story is poetic. He asks her about choosing sides. She says it's doing that that makes everything so horrible. He has clearly made his decision about what he is going to do in order to "fulfill his destiny." He is clearly troubled and she says it's alright. He notes she doesn't even know what he's talking about. She says she doesn't care, she wants to help and asks if she can. He says she can. He hugs her and says "Forgive me." She is led by guards to a pyre. She finally realizes what is about to happen as she sees Melisandre standing there by the man with the fire. Shireen begs for her father. Melisandre says it will all be over soon. Two men seize her and tie her to a pole as she begs to see her father. Her horrible mother holds Stannis' hands and says this is a good thing and if they don't make this sacrifice they will all starve and die as Melisandre says the prayer and Shireen is set afire. She screams for help from her father and mother. Her mother finally sees reason and runs to her but is held back by guards. All the soldiers watch as Shireen burns and screams. And Melisandre looks on beatifically. Stannis turns away. The survivors of the attack at Hardhome reach the Wall. Ser Alliser Thorne spies them from the top. He and Jon stare at one another. Alliser is clearly surprised he is back. Alliser telll them to open the gates. The Wildlings, thousands of them, file in. Jon tells Sam it was a failure. Sam says he saved all these people. Jon says "and no one else" and that fact is not lost on them. Everyone stares as the Giant roams through. Ollie sees Jon and stalks off, catching his eye. Alliser approaches a bloody and tired Jon. He tells he he has a good heart but he will get them all killed. Jaime meets with the family and explains he is there to look after Myrcella since they received a threatening message via the necklace. Doran realizes the lead Sand Snake sent this. Doran says he won't kill Jaime, he doesn't want war. Doran makes a toast to King Tommen. The lead Sand Snake pours out her drink in disgust. Tommen has insisted on Myrcella's return and Doran can't disobey the King. So he will send her and Tristane back. Doran wants Tristane to take Oberynn's place on the small council. Jaime says he will. The lead Sand Snake snarls at him and Doran says she better think twice about talking to him like that. Jaime asks after Bronn, and the Dornish agree to set him free on one condition: he has to let Doran's huge bodyguard whack him in the mouth with his elbow. Later, Doran asks the lead Sand Snake to swear her allegiance to him or die. She kneels before him and kisses his hand, to the chagrin of her daughters, still bound at the hands. He warns her that he believes in second chances but not third ones. She goes to see Jaime. She reassures him she knows of his love for Cersei and that no one cares about incest in Dorne and it's always changing across the Seven Kingdoms about who people are allowed to love and the only thing she knows is we want who we want. She also notes that Myrcella had no part in the terrible thing that happened to Oberynn and perhaps even he is also innocent of that. Arya's on her morning "oysters, clams and cockles!" run when she spies the gambler. She puts the poison in her pouch and approaches. She is unsure at first and sees something and walks past him as he hollers at her. It's Mace Tyrell arriving with Meryn Trant. She watches them disembark and be welcomed by the men from the Iron Bank. She turns away as they pass. They head on to the Bank and she follows their party. Meryn Trant spies her as Mace Tyrell talks about investments and gambling to the chagrin of the bankers who don't consider themselves gamblers. When they come out, Mace begins to sing for some reason and Arya continues to watch. Later, Trant and some other guards head to a brothel and Arya continues to follow, having fallen down on her duty with the gambler at the canal. She brings a tray in and some of the whores are interested in her oysters. She continues to wander and watches as Meryn chooses a woman. He keeps turning them down because they are "too old." The madam offers up her most expensive girl and he turns her down as well. She gets pulled into the room with Meryn by one of the Knights who wants oysters. Meryn seems to sort of recognize her but not exactly. The madam brings in a VERY young girl and he says "good." The girl looks very alarmed. The Madam shoos Arya out. She heads back to the House of Black and White where Jaqen is tending to someone. She lies and says the gambler wasn't hungry today and she will get him tomorrow. He knows she is lying. The day of the Great Games in the fighting pits has arrived. The fighters declare their allegiance to Dany. She seems uncomfortable. Hizdahr notes they are waiting for her to clap her hands to start fighting. She does, they do. Daario leans in between Dany and her fiancee and is all up in the guy's face. Dany is amused. Hizdahr is not. The first fight ends in a beheading. Tyrion does not have a taste for it. Dany and Hizdahr snipe at each other about what is true and false and the nature of belief. Jorah shows up in the next fight and declares his allegiance. Dany look upset. But then she hardens and gives the clap. He nods at her. The fight begins. When he takes a major hit, Dany winces. Tyrion is n the edge of his seat. Jorah bests one man. He takes on the next. Again he is cut. Again she winces. Other fights are happening simultaneously and the crowd cheers with bloodlust. Jorah is down on the ground with a sword at his neck. Another fighter saves him, apparently wanting to fight him himself. Tyrion says Dany can end it. Hizdahr says she cannot. Jorah bests the man who saved him. The crowd boos him. Suddenly, he throws a spear right towards Dany. He kills a man in a mask behind her. All hell breaks loose. As hundreds of men in masks emerge from the stands and go on a killing spree, including Hizdahr. Dany, Missandei,Jorah, Daario, and Tyrion make their way to the center of the arena fighting every step as the Unsullied try to protect her. Suddenly, Drogon the errant dragon arrives and begins breathing fire and eating the men in the masks. Tyrion is agape. As is everyone else. Dany is ecstatic. The masked men begin to throw spears at the dragon. Dany approaches and he seems to be recognize her and be happy to see her as she pulls out a spear. She climbs aborad his back and commands him to fly and he does, taking her up and out of the arena.