Here's what happens in episode 4.
The episode opens with Sansa, Brienne, and Podrick approaching Castle Black. The gates opened and they ride to the court yard where they meet with Tormund and new commander Edd. Sansa is confused wants to know what happened to Jon. Ed tells that he died. Sansa is about to cry, but Edd quickly says that he came back. They then go to Jon's room. Jon and Sansa hug, Brienne recognizes Davos and the Red woman. Brienne tells how she saved Sansa, Davos asks if she saw the battle. Brienne tells him that he executed Stannis. Davos gets mad and throws a chair across the room, storming off. Jon tells everyone to leave him and Sansa alone. Red woman stays and Jon doesn't seem to care. Jon tells Sansa about the white walker threat and Sansa tells how Ramsey raped her and how Theon helped her escape, but returned to the Iron Islands. Jon says Ramsey will pay for this and they need to retake Winterfell from Lord Bolton who killed their brother.
We then see Theon arriving at the Pyke, sad Ironborn track plays on back ground. When he arrives on the port, he gets told that King is dead, and the Kingsmoot is being hold within a week. Theon goes to castle where he meets with Yara. Yara is angry because Theon stayed in Winterfell against her hopes and he didn't come with her when she assaulted the Dreadfort. Theon start crying and says he is scared of Ramsey, and Yara leaves the room. Later Euron arrives with a crew of weird looking pirates. Damphair is angry and wants to know how Euron looks like he is still young. Euron says that gods don't age, Damphair leaves. Yara is suspicious and wants to know why Euron have a scar in his cheek. Euron will take part in Kingsmoot, he tells he is best choice - Yara is girl and Theon has no penis.
Littlefinger goes to Lord Royce's castle, where Sweetrobin is hunting with hawks. Lord Royce says that Robin is becoming a better warrior, but still not good. Littlefinger tells that when Cersei commanded him to Kings landing, Sansa was kidnapped by Roose Bolton's men and Sansa was married to Ramsay. Now she has escaped and King Tommen has given Vale permission to attack the North. Lord Royce is suspicious but Littlefinger tells that doesn't he want to save his friend Ned Stark's daughter. [That sentence is so bad I will rewrite it: "Lord Royce is suspicious but Littlefinger asks him why he does not want to save the daughter of his friend, Ned Stark."] Royce say that they should have allied with Stannis but Littlefinger tells that Stannis is dead, as is Bolton. Ramsay will be easier to win. Lord Royce and Sweetrobin agree that Vale will attack Winterfell.
In King's landing High Sparrow meets with prisoned Margaery. He tells her about gods and how Stranger demands death to sinners. Margary says that she won't confess because she hasnt done anything wrong. High Sparrow say that she lied in front of gods and she will have atonement if she confesses. Margary asks what atonement, High Sparrow says that she will have to walk naked through city. Margery doesnt want to, but High sparrow says there is another way. We then see Margaery being allowed to meet Loras. They hug each other, shame bitch looks angry. Creepy guy tells Cersei that Margaery will have walk of shame. Cersei is happy but Jaime convinces her to try to ally with Tyrells. Cersei and Jaime again interrupt council, Cersei informs them that Margaery will have to walk naked through the city, Queen of Thorns doesn't want that to happen. Cersei agrees to help, for Tommen. Kevan Lannister sit iron Throne when Jaime comes and asks why he doesn't like Cersei anymore. Kevan tells that Cersei had sex with Lancel when Jaime was Robb Stark's prisoner. Jaime doesn't believe. Kevan says Cersei will go to Casterly Rock after her trial if she wins. Jaime say Tommen needs his mother, but Kevan says Cersei is not a good mother. Jaime is angry and says Tommen will lose both his father and mother. Kevan says Tommen still has a father who needs to stop being Cersei's puppet. He then leaves the council room, leasing Jaime confused looking.
Tyrion, Varys, Missandei and Greyworm meet slaver masters who want to know when Daenerys returns. Tyrion says that mother of Dragons will be back soon and he will rule until then and help them best he know. Masters want dragons killed, Tyrion says no. Tyrion and walk balcony when they see Volantis army outside Mereen. They welcome Volantis slavers to drink with them. Tyrion says that they know slavers are behind harpy assassins Slavers admit they are but slavery is how they live, Daenerys cant take slavery away. Tyrion says slavery is bad and they can't own other people. Slaver laugh and tell they know Tyrion is from Seven kingdoms. Slavers laugh and say that in Westeros lords own people as well, then they leave and say that unless city goes back to slavery they will conquer it. Siege begins. Tyrion says they need help.
Jorah and Daario walk near Dothraki town, and talk that Daenerys will be made a priestess or something. They will ambush the village in night. Then it is night and Daenerys is festival where the khals are colored in yellow and blue. Khals start raping women and kill other khals. Khal Fezu say that he was friend of Khal Drogo and he thinks Daenerys should be one of khaleesi priests. Other khals want to rape her. The new Khal Morro agree with Fezu. At same time, Jorah and Daario attack. They go different way, Jorah kills Dothraki and gets in trouble, Daario battle too. It is decided that Daenerys will be made Khaleesi. Daenerys goes outside and talks with young girl, Khal Pomo kill the girl and wants to rape Daenerys. Khaleesi runs back to the hut, where Dothraki led by angry khals want to rape Daenerys and there is a fight between men of Morro and Fezu against Khals Pomo and yellow khal. Then Drogon attacks and breathes flames in Dothraki. Fezu and evil khals die in fire. Jorah sees the big house burning and runs to meet with Daario. Drogon burns everything and all the khals not Morro who runs outside. Jorah and Daario think Daenerys die, but she walks naked from burning house and Drogon lands behind her, breathing flame. Jorah, Daario, Mono and Dothraki bow to her.