Ulica od Rupa as Outside Littlefinger's Brothel
The High Septon is forced to walk naked through the street by a group of Sparrows.
“High Sparrow” Filming Locations
Arya has to give up her identity to begin her training, Cersei searches for a way to deal with Margaery, Sansa learns where she is heading, and Tyrion visits a brothel.
Game of Thrones episode “High Sparrow” was filmed in Dubrovnik in Croatia and Antrim in the United Kingdom.
Ulica uz Jezuite as Stairs to the Great Sept
Cersei and Margaery arrive for Margaery's wedding.
Source: Winter Is Coming
Pile Gate as Red Keep Walls
Cersei talks to Tommen who is asking her about going back to Casterly Rock.
Knock Dhu as Moat Cailin Overlook
Sansa and Littlefinger look down on Moat Cailin and Sansa figures out that Littlefinger plans to wed her to Ramsey.
Dock near Kaštel Gomilica as Hiding Place
Arya dumbs her old clothes in the bay and hides Needle behind a loose rock.
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.
Higgins Estate as Winterfell
A new set was constructed for season two's Winterfell scenes on the grounds of this estate.
Source: Winter is Coming