Long Night

Eight thousand years before Robert's Rebellion, a winter known as the Long Night lasted a generation. In the darkness and cold of the Long Night, the White Walkers descended upon Westeros from the furthest north, the polar regions of the Lands of Always Winter.

None knew why they came, but they killed all in their path, reanimating the dead as wights to kill the living at their command. Eventually the peoples of Westeros rallied and in a conflict known as the War for the Dawn, the White Walkers were defeated and driven back into the uttermost north, with the Wall raised to bar their return. In the present day, most believe they never existed and are just the stuff of legends, and even the few who believe they did once exist think they went extinct thousands of years ago. Certainly, none has been seen for thousands of years.