The opening scene of this episode featured the first-ever use of piano in the show's soundtrack. Composer Ramin Djawadi said he wanted the audience to feel something is out of the ordinary right at the beginning and make them suspicious and pay closer attention to the tension of the scene.
This episode confirms the popular theory (known as "R + L = J") that Jon Snow is not, in fact, Ned Stark's bastard son but the son of Ned's sister Lyanna Stark and Prince Rhaegar Targaryen. Though the episode did not explicitly state Rhaegar is Jon's father, HBO confirmed it the next day in the show's viewer guide (making Jon both the 'Ice' and 'Fire' from the novel series, 'A Song of Ice and Fire'). Since the first novel came out, fans have speculated for many years, long before the show was released, that Lyanna had died in childbirth at the Tower of Joy, and made Ned promise to protect her son from Robert Baratheon's wrath, who would have demanded the death of any possible Targaryen heir, especially the son of the man he hated most of all. This was one of the first story points not yet revealed in the novels that George R.R. Martin confirmed with the showrunners during their first meeting in 2007: he asked them one question, "who is Jon Snow's mother?", and when they gave the correct answer, Martin allowed them to adapt his book series.
With Walder Frey's murder, all three orchestrators of the Red Wedding, alongside Tywin Lannister and Roose Bolton, are now deceased. Interestingly, all three were murdered in their own homes and killed in a way resembling the major deaths of the Red Wedding: Tywin was killed by crossbow bolt (Grey Wind), Roose was stabbed at close range (Robb), and Walder Frey had his throat slit (Catelyn). Frey is the only one whom the Starks took direct revenge on (and even in the same room as the Red Wedding). The other two were killed by their own sons.
Cersei's coup was foreshadowed in the preceding four episodes: in Blood of My Blood (2016), Bran saw a vision of wildfire explosions in tunnels; in The Broken Man (2016), Olenna told Cersei that she was surrounded by thousands of enemies, and asked her "You're going to kill them all by yourself?"; in No One (2016), Jaime suggested that Cersei would do anything to protect her children, like "burn cities to ash"; and in Battle of the Bastards (2016), Tyrion prominently mentioned that Jaime killed the Mad King due to his plans to destroy the city with his secret caches of wildfire. The irony is that Cersei thus committed the act of horror that her twin brother Jaime preemptively killed the Mad King for.
While Arya is wearing the face of a servant to ambush and murder Walder Frey, there is an early hint to her identity as she refers to him as "my lord". In A Man Without Honor (2012), Tywin told Arya that he can tell she is high-born because she refers to him as "my lord", while low-born are usually illiterate and run together the phrase as "m'lord".