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SPOILERS for Episode 5 Season 6 "The Door"

Night's Watch didn't exist before the Wall. The Wall was built after the long night, the Long Night is when the White Walkers are said to come down south and created havoc to mankind.

In the latest episode everything makes less sense after Bran's vision in which he saw Children of The Forest inserting obsidian into (possibly, from the books at least) the 13th Lord Commander making him the Night's King and he is the one who created more White Walkers (like that scene where Craster's son was sacrificed to the White Walkers and the Night's King touched him and he became one of them)

When Bran wakes up he asks one of the Children of the Forest "You made the white walkers"..? And she agrees.

I thought that White Walkers existed, only that Night's King was converted into one by those White walkers, but here that one conversation between Bran and CoTF changed everything.

Why Wall was built then if there were no White Walkers before the 13th Lord Commander of the Night's Watch became the Night's King?

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    You've assumed that man was the 13th Lord Commander of the Night's Watch. That's not stated anywhere. – Möoz May 25 '16 at 22:46
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The book and show's Night('s) King are most likely different characters. So your base hypothesis to determine the sequence of events is wrong. In both versions it's still most likely the wall was built after (and because of) the creation of the others/white walkers. I say most likely because both events are ancient in context of the current story (8 millenia!) and there is not much more than legends to go on.

In the books the legend goes that he was the 13th lord commander of the watch, defected, took a woman with "skin cold as ice" as his queen and ruled from the Nightford (where likely his title came from). After his downfall it was discovered he worshiped The Others. So he was clearly linked with The Others, his Queen might even have been one, but nothing indicates he was or became one himself. He could also have not been the first according to these stories. Though of course, the Night's King in the book is a legendary figure, so how correct these stories are is unknown and could of course be adapted to match something similar to the TV series, though that seems very unlikely.

In the series he is the seemingly immortal leader of The White Walkers and has now been confirmed to be created by the Children of the Forest. Before becoming the Night King he was probably just a First Man, with whom the Children were at war. Nothing indicates he was a lord commander of The Watch.

GRRM had this to say about it:

As for the Night's King (the form I prefer), in the books he is a legendary figure, akin to Lann the Clever and Brandon the Builder, and no more likely to have survived to the present day than they have.

  • Although indeed nothing indicates that he was a member of The Watch (as it didn't exist at the time), we don't know if he was a 'regular First Man'. He might have been a king, a greenseer, etc. – Chanandler Bong May 24 '16 at 7:28
  • @ChanandlerBong I mainly meant in contrast to the legend in the books, but good point, edited that. – KillianDS May 24 '16 at 9:10
  • @KillianDS Doee that means there is no mention of a Night's King in the present with The Others in ASOIAF? That makes the TV show go into a complete different direction. – Deepak Kamat May 24 '16 at 19:09
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    @DeepakKamat No there isn't (yet), and the tv show has made way more drastic changes than that (e.g. the whole Dorne plot). The show just gave the others a leader, but the role they play may (or may not) still be the same as the books. – KillianDS May 25 '16 at 15:01
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There is nothing to indicate that the White Walker shown being created, was created before the Wall was created. Or that he was a Lord Commander of the Night's Watch. Or that he's actually the Night King.

The show may diverge from the books in this, as the show has been known to merge or separate characters as needed. (Examples: The Sand Snakes, Jaqen and the Kindly Man)

Spoilers ahead:

What we do know, mostly coming from the Blu-Ray special features (The Children of the Forest, the First Men, and the Andals and The History of the Night's Watch).

First came the Children of the Forest, second came the First Men from Essos. War happened as the First Men chopped down the trees of the Children 12000 years ago. War lasted for 2000 years, then a peace for 2000 years. Then the Long Night came:

"Thousands of years ago, there came a night that lasted a generation. Kings froze to death in their castles, same as the shepherds in their huts; and women smothered their babies rather than see them starve, and wept, and felt the tears freeze on their cheeks... In that darkness the White Walkers came for the first time. They swept through cities and kingdoms, riding their dead horses, hunting with their packs of pale spiders big as hounds."
-s01e03 "Lord Snow"

The Long Night resulted in the White Walkers coming to attack. This was followed by the "The War for the Dawn":

None knew why the White Walkers came, nor their nature and origins, but they killed all in their path. The White Walkers reanimated the dead as Wights to kill the living at their command, and soon the White Walkers led their hordes of undead to sweep across the continent.

The First Men drove back the White Walkers to the furthest north Eventually the First Men and the Children of the Forest rallied to defend themselves and in a conflict known as the War for the Dawn, the White Walkers were defeated and driven back into the uttermost north.

The Wall was constructed along the northernmost isthmus of northern Westeros to bar their return, a massive fortification standing seven hundred feet high and stretching from one side of the continent to the other. Legend says that the Wall was infused with powerful magic spells by the Children of the Forest that prevent the White Walkers from crossing it. The ancient order of the Night's Watch was founded to defend the Wall should the White Walkers return to invade the realms of men once more.

So at 8000 years, the Children and the First Men teamed up. These First Men split into what we know as the Northerners (The Starks have heavy First Men blood in them) and the Free Folk/Wildlings.

Then at 6000 years ago, the Andals came (The Lannisters have heavy Andal blood in them). And the Andals began to kill the Children again, who were already experiencing a low population after the first war with the white walkers.

Given both of these events, the Children likely created multiple waves of White Walkers. The first before the Wall, to attack the First Men, and then again afterwards, to attack the Andals.

In the latest episode, we see Leaf creating a White Walker, possibly the first time round. Nothing says he becomes the Night King, or that he was a Crow.

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    Nice answer, but I think the last paragraph about the different "waves" of White Walkers is unlikely, since Children of the Forest by then knew what a menace WW were. – Ciacciu May 30 '16 at 9:25
  • @ciacciu true, but by then it was a last ditch "if we die, you die" thing. From Hell's heart I stab at thee – cde May 30 '16 at 17:48

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