When we last caught up with Rickon Stark on Game of Thrones, he was leaving his brother Bran, Meera Jojen, and Hodor so that Bran could begin his training to become a greenseer. Bran sent Rickon, under the care of the wildling Osha, to House Umber, where they believed he would be safe. As we saw on Sunday's episode, this turned out to not really be the case. Smalljon Umber is apparently not so loyal to the Starks as we all originally thought, and delivered Rickon and his headless direwolf Shaggydog to Ramsay Bolton as a "gift." But how did Rickon get caught in the first place?
Well, there are a few possibilities, depending on where Rickon has actually been all this time.
If Osha and Rickon actually made it to the Umbers, that would mean that they've been living with them all this time, and it is only just now that the Umbers decided to betray him and hand him over to Ramsay. If Rickon had been staying in Hotel Umber for the past few years, this would have been pretty easy to accomplish really. Smalljon would basically have had to just tie him up while he was sleeping or having breakfast or something and toss him into the back of the wagon or whatever. Pretty cold for the son of a guy who was ready to die fighting for Rickon's brother Robb as the King in the North.
Alternatively, Rickon could have been living on the Island of Skagos, as was hinted in the books. Skagos is reportedly not an extremely civilized place, and the Skagosi are rumored to be cannibals and ride unicorns into battle. In this scenario, Smalljon Umber would have had to journey to Skagos, find Rickon, convince whatever King/Dictator/Chief/Hefe rules there to give him up, kill Shaggydog somehow, and then take him back to Winterfell.
Or perhaps Rickon was in Skagos but was driven out for whatever reason — perhaps a unicorn attack, or he was about to be eaten — and tried to seek shelter with the Umbers. When he arrived at the Last Hearth, Smalljon Umber smelled an opportunity and betrayed Rickon, kidnapping him, killing Shaggydog, and taking him to Ramsay.
In the final and most optimistic possibility, Rickon could have been living in either Skagos or House Umber. The Northern lords got together to find him, and concocted a plot to use Rickon to get rid of the Boltons. In this case Rickon's not really captured at all, the Shaggydog head presented could be a fake, and the real Shaggydog is off somewhere killing mountain lions for fun. Remember how Smalljon somehow managed not to swear loyalty to Ramsay Bolton?
Even if the happiest of these theories turns out to be the case, Rickon's fate is far from secure. We'll have to wait to find out, but please don't break my heart again, show.