Thorald Gray-Mane is a Nord and a member of the Gray-Mane clan. He is the missing son of Eorlund and Fralia Gray-Mane, the brother of Avulstein and Olfina Gray-Mane, and the nephew of Vignar Gray-Mane.
Thorald joined the Stormcloaks to fight the Empire and disappeared sometime afterwards. Later on, it is discovered that he was abducted by the Battle-Borns during a skirmish and that he was later handed to the Thalmor. He is held captive in Northwatch Keep. Although many say he just died, Fralia Gray-Mane and her son Avulstein Gray-Mane believes the Imperials have him alive and that the Imperial loyal Battle-Borns have something to do with his disappearance. In truth, the Imperial Legion knows the Thalmor have Thorald prisoner and has tasked clan Battle-Born to inhibit any inquiries of his disappearance.
Running on the motherly intuition of Fralia Gray-Mane, the Dragonborn investigates the House of the Battle-Borns in Whiterun as to the whereabouts of her son. Finding an Imperial Missive on a bureau, the Dragonborn discovers that the Thalmor apprehended Thorald. The Thalmor were holding him prisoner at Northwatch Keep. Alongside his brother, Avulstein, the Dragonborn heads to Northwatch Keep to rescue him.
After being rescued, he says he'd better leave Skyrim or join the Stormcloaks in order to evade the Thalmor. In his testimonial after leaving Northwatch Keep, he affirms that he's not sure about how much time has passed since he was abducted, but estimates it may be more than a year.
He asks the Dragonborn to tell his mother, Fralia, a secret message to be decrypted by her. After escaping the Keep, Thorald joins the Stormcloaks so as to take the fight to the Thalmor agents. Henceforward, he may be seen in Windhelm telling Ulfric Stormcloak's second-in-command, Galmar Stone-Fist, that he wishes to fight for the Stormcloaks.
"You there! What are you doing?"
- here to rescue you. "I never thought I'd see another friendly face again. We need to get to safety as soon as possible. Let's move."
- What do the Thalmor want with you? "I'm not sure. At first they accused me of being a Stormcloak, a secret Talos worshipper... They wanted a confession. To what didn't matter, they simply wanted me to admit to something. I think they wanted to break me. Use me as a way to get to the rest of the Gray-Mane family. I gave them no such pleasure."
- How long have you been chained up? "Gods, I've lost count of the days. It feels like an age has passed. I wish I could believe that I'd have held out forever against their torture, but I can't be so sure. Now thanks to you I needn't worry anymore."
"Let's go! Let's go!"
- You should be safe now. "I cannot thank you enough for rescuing me from this place. I suspect I'd never again see the light of day otherwise. But why would you risk your life for me, a stranger?"
- Your family was concerned for you. " Of course. I should've known. Avulstein was behind this, wasn't he?"
- Your brother talked me into it. " I've never known Avulstein to be that convincing! Where is the little scamp?"
- He came in with me, but I'm not sure what happened to him. " So he might still be in there? I don't dare go back in now. I'll just have to hope that in the confusion he can slip out."
- I told him to wait in Whiterun. " A wise decision, but I fear he may not be safe there anymore. They'll go looking for me, and Whiterun will be the first place they search. I cannot stay. Not here, not in Whiterun. It likely won't be safe for Avulstein, either. Our best hope now, is to fall in with the ranks of the Stormcloaks. But would you do me a favor? Tell my mother to suffer the winter's cold wind, for it bears aloft next summer's seeds. She'll know what it means. I thank you again, friend. You've given me my life back."
- He... didn't make it. " Avulstein... you stupid boy.... What is my freedom worth, if the price is my brother's life? I don't dare return to Whiterun. But my mother... She'll need some consolation. Tell her... tell her to suffer the winter's cold wind, for it bears aloft next summer's seeds. She'll understand. Though shall mourn my brother, I thank you, friend. You've given me my life back."
- "I must be on my way now."
- "Please, get word to my mother."