The Lands of Always Winter is a colloquial and not rigidly-defined name given to the lands that lie in the furthest north of the continent of Westeros. They are so-named as snow falls in these lands even in the warmest summers. The wildlings control some of this territory, but it also extends into subarctic wastelands that are not hospitable to human life. These lands are said to lie north of even the Haunted Forest and the Frozen Shore, beyond the Wall. The White Walkers originate in this region. The land wasn't always a winter-covered wasteland, having been a fertile land inhabited by the Children of the Forest in ancient history which they used to perform rituals and turn a captured human into the first of the White Walkers.
Bran Stark and the Three-eyed raven see the lands north of the Wall in a prehistoric period of time when they were green and inhabited by the Children of the Forest. Bran later sees the lands in the present day in a subsequent vision, where a massive army of wights and the Night King are stationed.
In the books
In the A Song of Ice and Fire novels, the Lands of Always Winter are mostly unexplored. They lie beyond the northern-most wildling kingdom, the land of the Thenns in the northern valleys of the Frostfangs. The wildlings believe that the White Walkers come from this region, but even the northernmost wildling tribes have little if any knowledge of the region - as few who have ventured so far north have ever lived to tell about it, if only due to the deathly cold temperatures.