A Clash of KingsEdit
Walda is wedded to Roose Bolton when he is at the Twins. After Roose takes Harrenhal and stations his army there he frequently receives letters from his wife. He always reads them, before throwing them in the fire to burn.
A Storm of SwordsEdit
Roose tells Ser Jaime Lannister that Lord Walder Frey offered to pay the weight of whatever Frey girl Roose married as the dowry, so he picked the largest available Frey girl. Walda is present for the wedding of Lord Edmure Tully and her aunt Roslin Frey, however she is absent for the Red Wedding bloodbath.
A Dance with DragonsEdit
Walda travels north with her husband, accompanied by her uncles Hosteen Frey and Aenys Frey. She meets Theon Greyjoy and Ramsay Bolton after the siege of Moat Cailin comes to an end. Roose later tells Theon that he has grown to care for Walda, although he knows that Ramsay will kill any children that she births by him. She eats three slices of pork pie at the wedding of Jeyne Poole, disguised as Arya Stark, and Ramsay. Theon notes that Walda shows signs of pregnancy during their stay at Winterfell. she is present when news of her little brother's death is brought.