From /r/freefolk, the trusted subreddit for GoT spoilers and news:
During Balon Greyjoy's first rebellion, (nine years before the start
of the story) the amassed army of King Robert Baratheon laid siege on
Pyke. When the first wall fell, it was Jorah who charged first into
the Ironborn stronghold, followed by Thoros of Myr, who charged with a
flaming sword. Just to clarify, this act of courage is why Jorah was
knighted even though he is a northerner. That's how they know each
other.
Jorah recalls the event mentioned above in this video:
JORAH: It was a bitch of a siege
BARRISTAN: Mm. You were first through the breach at Pyke
JORAH: The second. Thoros of Myr went in alone, waving that flaming sword off his
BARRISTAN: [laughing] Thoros of Myr! Bloody madman. Robert knighted you after the battle