“Lord Snow” Filming Locations
Game of Thrones episode “Lord Snow” was filmed in Mdina in Malta and in the United Kingdom.
Mdina Gate as King's Landing Gate
Catelyn and Ser Rodrik ride into King's Landing to investigate the attack on Bran.
Pjazza Mesquita as Littlefinger's Brothel
Lord Baelish shows Ned Stark to his brothel to see Catelyn who had snuck into the city.
Magheramorne Quarry as Castle Black
Home of the Nights Watch at the base of The Wall where Jon Snow travels. Photos of the set constructed in the disused quarry can be found here. One of the quarry walls was painted to look like ice, all of the buildings around the courtyard were built (including several interiors) as well as a working elevator.
Leslie Hill Estate as Dothraki Sea
The Dothraki are riding through the plants when Daenerys dismounts and talks to her brother, who then assaults her.
Source: Winter Is Coming