The Inn at the Crossroads (also called the Crossroads Inn) is a popular stop for travelers on the Kingsroad. It is so-named because it lies at the meeting point of major roads which run north-south and east-west. The Kingsroad runs north to Winterfell and south to King's Landing. The River Road runs west into the Riverlands. At the crossroads, however, the name of the highway running west-east changes, becoming known as the Eastern Road which runs to the Vale of Arryn.
The inn (and the crossroads) is also located close to the banks of the Trident River, as well as the main crossing point of the Trident at Ruby Ford where the Kingsroad passes over it. The inn is run by Masha Heddle.
King Robert Baratheon's party rests at the Crossroads Inn on its way from Winterfell to King's Landing. Prince Joffrey Baratheon is wounded in an altercation with Arya Stark's direwolf on the riverbank. The Hound kills Arya's friend Mycah, the butcher's boy.
Catelyn Stark and Ser Rodrik Cassel stop at the inn on their way back to Winterfell, where they are accosted by the singer Marillion. Tyrion Lannister then arrives and Catelyn calls on several knights present loyal to her father to help her take him into custody. She loudly tells everyone in the inn that she is taking Tyrion to Winterfell, but instead travels east to the Eyrie.
The Brotherhood Without Banners stop here, along with Arya Stark and The Hound. Arya confronts The Hound about what happened last time they were here. Hot Pie decides to stay and work at the Crossroads Inn and bids farewell to "Arry" and Gendry. 
In the books
In the A Song of Ice and Fire novels, the Crossroads Inn was built during the reign of King Jaehaerys I approximately two hundred years prior to the beginning of the novels. The inn survived the troubles of Robert's Rebellion intact. Masha Heddle's grandfather ran the inn before handing it down to her.
In the novels, Lord Tywin Lannister's army assembles at the Inn for battle with the Stark host bearing down on them from the north. Tywin hangs Masha Heddle for letting Tyrion be taken prisoner on the premises. Tyrion joins his father's host at the inn and debates strategy with him there. In the TV series, however, the Lannister army assembles much further to the west, the inn is not involved in the battle and Masha Heddle presumably survives.
Hot Pie ends up making bread for a different inn named the Inn of the Kneeling Man.
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