Rickon Stark and Osha returned to Game of Thrones this season only to be thrown into the hands of Ramsay Bolton. Bran sent Rickon, Osha, and Shaggydog off to the Last Hearth, the home of the House of Umber, back in season three to keep them safe. Greatjon Umber was a loyal bannerman to the Starks back in the day and Bran believed they could be trusted. Fast forward to Season 6 when it appears the Umbers turned on the Starks on Game of Thrones, when Rickon was brought to Ramsay in the ultimate betrayal.
As often occurs to the Starks, Rickon and Osha were betrayed. When Smalljon Umber, Greatjon's son, appeared at Winterfell, Ramsay was hesitant because of the Umber's previous loyalty to the Starks. Although Smalljon refused to bow before Ramsay he did give Rickon and Osha to Ramsay as gifts. And to prove that Rickon was actually a Stark, he also presented the head of Shaggydog.
Smalljon claims it was Jon Snow's admittance of Wildlings past the wall and the fear of an upcoming battle with Wildlings that led him to come to the Boltons so they could join forces. Though this is a pretty fair reason for why Smalljon would switch sides, many fans believes that he, along with the other house of the North, are all part of an elaborate scheme to actually help the Starks.
In the books there were some Northern lords that pretended to be loyal to the Boltons but were actually Stark loyalists. Known as the Grand Northern Conspiracy, fans believe Smalljon may be a part of that in the show. This theory is based on his refusal to swear an oath of fealty to Ramsay and also the fact that many believe the wolf head presented isn't actually the head of Shaggydog. Fans theorize the head given was way too small to be that of Shaggydog and that when the time comes we'll see Shaggydog aid in the attack on Winterfell.
However, in Sunday night's episode of Game of Thrones, Ramsay killed Osha, and though Osha probably didn't mean much to Smalljon to begin with, it's still curious that they would give her up to Ramsay if they were actually on the Starks' side. Smalljon could've easily just given Rickon to Ramsay and that would've proved his loyalty enough. Giving up Osha as well was just sending her to her death and if Rickon is in on a plan with the Umbers it seems unlikely that he would've wanted Osha to give up her life for him.
It's possible that whatever sense of loyalty House of Umber had towards the Starks was completely shattered as soon as Jon let Wildlings past the wall. And although there are surely Northerners that are still loyal to the Starks, Smalljon Umber may not be one of them.