- "Thousands of years ago, there came a night that lasted a generation. Kings froze to death in their castles, same as the shepherds in their huts; and women smothered their babies rather than see them starve, and wept, and felt the tears freeze on their cheeks...In that darkness the White Walkers came for the first time. They swept through cities and kingdoms, riding their dead horses, hunting with their packs of pale spiders big as hounds."
- ―Old Nan to Bran Stark
Eight thousand years before Robert's Rebellion, a winter known as the Long Night lasted a generation. In the darkness and cold of the Long Night, the White Walkers descended upon Westeros from the furthest north, the polar regions of the Lands of Always Winter.
The War for the Dawn
None knew why the White Walkers came, nor their nature and origins, but they killed all in their path. The White Walkers reanimated the dead as Wights to kill the living at their command, and soon they lead their hordes of undead to sweep across the continent.
The dead raised as Wights.
Eventually the First Men and the Children of the Forest rallied to defend themselves and in a conflict known as the War for the Dawn, the White Walkers were defeated and driven back into the uttermost north. The Wall was constructed along the northernmost isthmus of northern Westeros to bar their return, and the order of the Night's Watch was founded to defend it.
Aftermath
The First Men were victorious.
In the present day, most believe that the Long Night is just a children's story, and that the White Walkers are nothing more than legends. Even the few who believe they did once exist think they went extinct thousands of years ago. Certainly, none was seen for the next eight thousand years between their supposed defeat and the time of Robert's Rebellion.
As the War of the Five Kings begins, disturbing reports have come back from the scouts of the Night's Watch that for reasons as yet unknown, the White Walkers have begun to return. Given that the great lords of Westeros are short-sightedly more concerned with fighting each other for control of the realm, most have simply ignored the warnings of the Night's Watch to focus on the civil war. This leaves only the under-supported and under-manned Night's Watch to stand between the White Walkers and the realms of men.