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In the first episode of Game of Thrones, a Night's Watchman deserts his patrol after seeing his two comrades killed by White Walkers, is caught (south of the wall), and beheaded.

My question is, how did he escape to the south? I thought the only way south was through a gate that was manned by the Night's watch. But if he made it that far, then surely he had made it to safety anyway, and so could have just reported back from his patrol as he was supposed to.

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