Plaza de Toros de Osuna as Great Pit of Daznak
Daenerys is watching the fighters battle in the great pit when the event is attacked by the Sons of the Harpy.
Source: Winter Is Coming
“The Dance of Dragons” Filming Locations
Arya sees a face from her list, Jaime makes a deal with Prince Martell, Stannis does something horrible, and Daenerys watches a totally non-eventful fight at the pits.
Game of Thrones episode “The Dance of Dragons” was filmed in Osuna & Seville in Spain, Šibenik in Croatia, and in the United Kingdom.
Mudéjar Palace (Real Alcázar de Sevilla) as Water Gardens Palace
Jaime talks with Doran Martell about the incident with Myrcella and the Sand Snakes.
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.
Cathedral of St. James as Iron Bank of Braavos
Arya watches Tycho Nestoris lead Mace Tyrell and Meryn Trant to the Iron Bank for a meeting.
Source: Winter Is Coming, 2