Walder Frey son of Merrett
Not to be confused with Walder Frey · Walder Frey (son of Jammos) · Walder Frey (son of Ryman).
The son of Merrett Frey and Mariya Darry, Walder Frey is called Walder the Small to set him apart from a cousin born just days after him and given the very same name. As a boy he is sent to Winterfell under the pact between House Stark and the Twins, and there he grows close to Rickon Stark while keeping his distance from Bran and his companions.
His name resurfaces years later attached to Ramsay Bolton, whose squire he becomes — a change that unsettles those who know him, as the burly boy starts behaving more and more like his new master.
Chapter 1
The ward of Winterfell
Books only
When Catelyn Tully arrives at the Twins to treat with Lord Walder Frey, young Walder is there, and the pact sealing the alliance between the Freys and the Starks sends him to Winterfell as a ward. He had been born a mere 52 days before a cousin sharing his own name, so in the North they tell them apart by calling him Walder the Small.
At Winterfell he becomes friends with Rickon Stark, though he gets along with neither Bran nor the Reed children traveling with him. He wins the game of 'Lord of the Crossing' often enough, and at the harvest feast he can be seen training alongside knights come from White Harbor. When word arrives that Ser Stevron Frey has died, Walder the Small argues with his cousin over who inherits the Twins, neither showing any grief for their lost kinsman; Osha says the nickname suits him perfectly — he's only big on the outside.
When Ramsay Snow sacks Winterfell, both Walder the Small and his cousin are taken captive.
Chapter 2
The letter that blames Theon
Books only
After the fall of Winterfell, a letter goes out from the Twins in the name of Walder the Small and his cousin, laying the sack and the burning at Theon Greyjoy's door. Lothar Frey carries that account to Robb Stark, who accepts it as true.
Chapter 3
Ramsay Bolton's squire
Books only
Walder the Small becomes Ramsay Bolton's squire, and over time he starts behaving more and more like him, unsettling both Theon Greyjoy and his own cousin.
When the Frey delegation arrives at White Harbor to deliver Lord Wyman Manderly's son Wendel's remains, it is Rhaegar Frey who proposes him as a husband for Wylla Manderly.
Chapter 4
The body among the ruins
300 ACBooks only
Walder the Small's body turns up among the ruins of Winterfell after Ramsay Bolton's wedding to the girl presented as Arya Stark. Theon Greyjoy suspects Mance Rayder and his spearwives, who deny it; according to his cousin, he had gone looking for a White Harbor knight he'd won a coin from at dice. Hosteen Frey lays the killing, or the order for it, at Wyman Manderly's door, and Wyman answers without admitting anything: 'Though perhaps it was a mercy. Had he lived, he would have grown up to be a Frey.'
The answer enrages Hosteen, who attacks Wyman: the brawl ends with eight dead, six from White Harbor and two Freys, and only Bolton's men stepping in keeps it from turning into a battle inside Winterfell.
Gallery

Walder Frey, image 2S06E06 - Walder Frey Cropped new.jpg · gameofthrones.fandom.com · this wiki publishes under CC-BY-SA 
Walder Frey, image 3WalderFreyedWedding.jpg · gameofthrones.fandom.com · this wiki publishes under CC-BY-SA 
Walder Frey, image 4AryaKillsWalderFrey.jpg · gameofthrones.fandom.com · this wiki publishes under CC-BY-SA