Theon Greyjoy is dismayed when his sister arrives at Winterfell and won’t help him hold it. His father doesn’t want Greyjoys in a castle so far from the sea. And also, killing the Stark boys has only made the entire North hate him. Which is a shame, because he really only killed those two orphan boys that were sent to work at that farm. Bran and Rickon (and Hodor and Osha) are hiding out in the crypt at Winterfell.
Furthermore, because nobody outside the North knows that Bran and Rickon are supposed to be dead, Catelyn Stark has panicked about having four of her five children being held hostage. Although only Sansa is really a prisoner at the moment, she’s worried about what would happen if the Karstarks have their way and kill Jaime Lannister. So she has Brienne take Jaime out of the Stark camp, which means that now Catelyn is a prisoner. Because Robb Stark puts her under arrest.
Over in Harrenhal, Arya learns that Tywin Lannister is about to make an unexpected attack on Robb’s army. So she finds a way to escape! Specifically, she traps Jaqen H’ghar by his own weird rules. She gives him his own name, so he has to either kill himself or help her escape. And he does! So now Gendry, Hot Pie, and Arya are out on the road.