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In the seventh episode of the sixth season (S06E07), Ser Davos and his friends visit House Mormont.

When Jon Snow and Sansa fail to persuade Lady Mormont to aid them, Ser Davos appeals to her by talking about the Night King.

We know Jon Snow encountered the horned White Walker at Hardhome, but we have only heard Bran use the term "Night King" before.

Bran and Jon have not seen each other in a long time, so how do Jon Snow and Ser Davos know that the horned White Walker is named/titled the "Night King"?

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    This doesn't explain how Davos would've heard it, but the Night's King is a well-known legend in the North. The story was told to Bran many times when he was small. There may be legends that the Night's King lives yet beyond the wall, which the men of the Night's Watch would know... – recognizer Jun 8 '16 at 22:08
  • Maybe Bran tried to use telepathy to tell Davos about Night King, but unfortunately told only the name of Night King, nothing more – Schullz Jun 9 '16 at 10:46
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    If the story was told to Bran many times when he was small, Jon was also told the story many times when he was small, as they grew up together and the nanny was Old Nan for both of them. That's how Jon would know the name. The men of the Nights watch probably learn the legend sooner or later and the wildlings certainly have the same stories as well, as they live(d) much closer to the source. Having spent such a long (and often dull) time at the Wall, Davos most likely heared the legend as well. – user1129682 Jun 9 '16 at 14:50
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Folklore

The Night's King is a well-known character. While the TV series may not have mentioned that title before, in the books it is clear that more people than Bran know of him:

No, Bran thought, but he walked in this castle, where we’ll sleep tonight. He did not like that notion very much at all. Night’s King was only a man by light of day, Old Nan would always say, but the night was his to rule. And it’s getting dark.

A Storm of Swords

The Night's King is explicitly described as an entity mentioned in stories:

The gathering gloom put Bran in mind of another of Old Nan’s stories, the tale of Night’s King. He had been the thirteenth man to lead the Night’s Watch, she said; a warrior who knew no fear.

A Storm of Swords

Given that Old Nan, who told Bran of the Night's King, has (so far as described in the books) no personal experience with the Night's King, nor (as a servant) access to any obscure texts, we can assume that this is a well-known tale.

Martin has said that the Night's King may not be alive in the books, but in doing so makes it clear that he is well-known:

As for the Night's King (the form I prefer), in the books he is a legendary figure, akin to Lann the Clever and Brandon the Builder, and no more likely to have survived to the present day than they have.

It seems reasonable to assume (in the absence of contradictory evidence) that something similar is true of the TV series: The Night's King is a well-known folkloric figure.

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    My one issue with this: Not only has Martin said the NK may not be alive in the books, the show NK does not resemble the character discussed by Old Nan. Honestly it seems like he's just called the Nights King because the show runners thought it was a cool name. So it's tough to say whether or not show characters would associate this legendary figure with the leader of the White Walkers. – kuhl Jun 8 '16 at 23:44
  • @Obie2.0 I think you are right. The Lannisters and most southerners dismiss reports of white walkers and thens as "children stories" but they are clearly familiar with them. – ventsyv Jun 9 '16 at 19:25

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