Map showing the location of the Stepstones between Westeros and Essos.
The Stepstones are a group of islands located east of Dorne and just west of the coast of Essos (in particular, the region known as the Disputed Lands). According to myth, Westeros and Essos were once joined by a great land-bridge - known as the Arm of Dorne - across which the First Men invaded Westeros. The Children of the Forest destroyed the land-bridge with magic more than ten thousand years ago, leaving behind only the shattered islands as evidence of its passing.[1]
Today the Stepstones mark the border between the Narrow Sea to the north and the Summer Sea to the south. There are eight large and numerous smaller islands in the chain, with the Free City of Tyrosh located on the northeastern-most island in the chain. Pirates, sellsails and mercenaries rule over and plague the Stepstones, making it difficult to establish any kind of outside rule there.
In the books
In the A Song of Ice and Fire novels, two of the islands in the Stepstones chain have been named so far: Bloodstone and Grey Gallows. Bloodstone is the largest, and the westernmost, located closest to Dorne. Grey Gallows is located south of Bloodstone. Tyrosh itself is located on an off-shore island at the eastern end of the Stepstones, but it is not considered part of them.
At least one of the Stepstones was conquered by Maelys the Monstrous, one of the Blackfyre Pretenders, in the War of the Ninepenny Kings, as a staging area for an invasion of Westeros. King Jaehaerys II sent an army to destroy his forces before they were ready, and Maelys Blackfyre was killed in battle by Ser Barristan Selmy.
Attempts by both the Seven Kingdoms and the Free Cities to conquer all of the Stepstones have failed. Apart from the fact that rival Free Cities are always competing over them, the local pirates and outlaws consistently resist any attempts made to impose outside rule. The Stepstones are predominantly lawless pirate-dens, but all sea shipping to the northern Free Cities (Myr, Pentos, Lorath, and particularly Braavos) has to pass through them. Shipping from nearby Lys, and even to an extent from Volantis, is also sometimes in danger of attacks from the pirates of the Steptones.
See also
Stepstones on A Wiki of Ice and Fire (spoilers from the books)
References
Template:Regions of the Known World Template:FreeCities