She was the new wife of Roose Bolton, the Lord of the Dreadfort.
Walda is a member of House Frey and a granddaughter of Lord Walder Frey.
During the wedding feast of Edmure Tully and Roslin Frey, Lord Bolton recounts to Catelyn Stark and Ser Brynden "Blackfish" Tully how Lord Walder Frey proposed that he marry one of his granddaughters and offered her weight in silver as a dowry. Lord Bolton then adds he chose the fattest bride available. Catelyn tactfully responded that she hoped that this has made him happy, to which he replies It made me very rich.
Walda travels north with her new husband to the Boltons' ancestral castle: The Dreadfort. She is clearly intimidated by her new surroundings and greets her stepson Ramsay with a meek "hello", even though Ramsay greets her politely, calls her "mother" and kisses her on the cheek.
Walda travels to Winterfell with Roose, Ramsay, and others from the Bolton household. She is there to greet Ramsay's betrothed, Sansa Stark.
At a "family" dinner, Ramsay remains polite toward Walda, filling her cup with wine, to which Walda thanks him with suspicion. Walda tries to sympathize with Sansa, saying it must be difficult being in a strange place, which is something that Walda is experiencing herself. Sansa firmly reminds her that Winterfell isn't a strange place; it's her home, and expresses that she thinks it is the people who are strange. This prompts Ramsay to bring Reek into the room to serve more wine for everybody, including Walda who is visibly repulsed by him. When Roose senses that Ramsay is getting too smug for his own good, he prompts Walda to announce that she is pregnant. Roose adds that from the way she is carrying Maester Wolkan says it looks like a boy, which clearly distresses Ramsay but delights Sansa.
Ramsay later confronts Roose about the news, expressing his concern of his inheritance to The North, in the event that the child is a boy. Ramsay also takes several jabs at Walda's weight, and ponders how Roose was able to consummate his marriage. However, Roose assures that Ramsay is and will remain his son and heir, and is to succeed him – although he maintains his implied threat that Ramsay had better behave himself if that is to remain the plan.
Walda is later present at Ramsay and Sansa's wedding ceremony in the Winterfell's godswood.
Walda eventually gives birth to a baby boy and shortly thereafter, is summoned along with the baby to Winterfell's courtyard by Ramsay who leads her into the kennels. Quickly realizing that Roose is dead and what is about to happen, she begs Ramsay to let her go, saying that she will go back to the Riverlands and never set foot in Winterfell again. She also reminds Ramsay that her son is his half-brother. Her attempts do not work, however, and Ramsay unleashes his hounds who proceed to kill both her and her newborn son. Walda and her son were finally avenged when Ramsay was mauled to death too by his own hounds on the orders of Sansa Stark.
Roose Bolton's new bride, Walda was a granddaughter of Lord Walder Frey. Bolton specifically chose the heavy-set young woman because Lord Walder promised him a dowry equivalent to his wife's weight in silver. After walda gave birth to a son and put Ramsay's birthright ar risk, the bastard murdered the baby, his stepmother and father.