The Andals are a race of men who invaded Westeros six thousand years prior to the events of the series. In the present day, they are the dominant ethnic and cultural group on the continent.
The original homeland of the Andals was a region on the west coast of Essos called Andalos, located north of the modern Free City of Pentos. Six thousand years ago, after allegedly receiving visions from the "Seven-faced God", the Andals were spurred on by their new Faith to migrate to Westeros, where they overran and conquered most of the continent, which was then inhabited by the First Men. The Andals brought the concept of chivalry and the manufacture of iron-wrought weapons and armor with them from Essos.
In many cases the Andals intermarried with the First Men they conquered. Still, the overwhelming influence on the gene pool of the continent is from the Andals, to the point that the Seven Kingdoms are often called "the Land of the Andals" by peoples in Essos (such as the Dothraki).
The exceptions are the North, which the Andals never conquered and where the blood of the First Men is still strong, and Dorne, where the Andal inhabitants later intermingled with the refugees from the east.
The Andals did conquer the Iron Islands as they did the rest of southern Westeros, but these Andal families acculturated to the unique ironborn society on the islands, even going so far as to convert to the local religion of the Drowned God. Thus while some Andal bloodlines were introduced to the Iron Islands, the cultural impact of their invasion was relatively minor.
Most of the current population of Westeros is, predominantly, of Andal descent. Their culture, language, and religion have permeated most of the continent. Knighthood is a distinctly Andal institution, closely tied to the Faith of the Seven, and introduced by the Andals to Westeros.
What is known in the present day as the "Common Tongue" of Westeros is actually the language of the Andals, which displaced the "Old Tongue" spoken by the First Men. Even the independent First Men living in the North eventually took up the language of their southern Andal neighbors.
Daario Naharis refers to Jorah as "Jorah the Andal" to his face whilst trying to infiltrate Vaes Dothrak. This may be an intentional, albeit half-hearted attempt at insulting him, since Daario at this point had been around Jorah long enough to understand how to properly refer to him.
In the books
In A Song of Ice and Fire novels, the homeland of the Andals was a region known as Andalos, located north of the modern Free City of Pentos. The Andals received a vision of a god manifesting to them as seven robed figures, and were bade to leave their homeland and conquer Westeros, which they did in the Seven's name. While following their code of chivalry and honor, the early Andals were ruthless in conquering and destroying those who opposed the Faith of the Seven and the justness of their cause.
The Andals' blood remains purest in the Vale of Arryn, where their ships first landed and commenced the invasion of the continent. The Andals' spoken language and written alphabet have supplanted the rune-based Old Tongue of the First Men, even in the North.
According to distant legends, the Andals actually originated in the Axe, a peninsula along the Shivering Sea northeast of Norvos - or at least, that is as far back as their origins can be traced, since human groups migrated across Essos for untold eons before recorded history. They later migrated from the Axe to conquer Andalos from a race of hairy men who were cousins to the Ibbenese (Inuit-like people who are fairly hairy). Andalos was located on the opposite side of (the future location of) Norvos, about the same distance southwest of Norvos as the Axe is again to the northeast. Whether the region of "Andalos" was subsequently named after them, or if they renamed themselves "Andals" after their new home, is unclear. They did live in Andalos for many generations (possibly longer than they had lived at the Axe), during which time their culture developed all of its formative features, to the time that Hugor of the Hill - according to legend and religious belief - was visited by the Seven.
Author George R.R. Martin has stated that the series was loosely inspired by the War of the Roses which occurred in Britain during the fifteenth century. The First Men loosely parallel the original Celtic inhabitants of Britain, while the Andals who later invaded and conquered Westeros are loosely parallel to the Anglo-Saxon invasions of Britain during the fifth and sixth centuries. Their name is also similar to the Vandals, barbarian tribes who were conquering parts of the Roman Empire at the same time as the Anglo-Saxons. The Anglo-Saxons divided up Britain into seven kingdoms, such as Mercia and Wessex, known as the "Anglo-Saxon Heptarchy". Similarly, the small kingdoms the Andals established in Westeros eventually aggregated over the centuries into "the Seven Kingdoms" such as the Westerlands, the Reach, etc. When the Anglo-Saxons invaded Britain, there was some intermingling with the local Celtic population, but the overwhelming ethnic composition centuries later stemmed from the Anglo-Saxons. Similarly, the Andals intermingled with First Men they conquered: typically, the nobility tend to be predominantly from the invaders (Anglo-Saxon or Andal), while commoners descend largely from the conquered (First Men or Celts). This varies considerably from one kingdom to the next, i.e. the inhabitants of the Vale are of very pure Andal descent compared to other regions.
According to the TV series official pronunciation guide developed for the cast and crew, "Andals" is pronounced "AN-dals", the emphasis is on the first syllable and the second "a" clearly enunciated. This pronunciation is usually followed, but occasionally the second syllable has been slurred so that the word is pronounced "AN-dles" ("handles" without the "h").
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