When did the Stark children first show warging skills?

Question

Stark children can warg into their direwolves.

When did they first warg?

I am wondering if they could warg into other animals before they found the direwolf pups, or if they must reach a certain age before acquiring the ability.

Answer 1

A Song of Ice and Fire

GRRM has stated the following in interviews:

I will now tell the story of what GRRM said when asked about the Stark children and their ability as wargs. He was asked if the trait of being a warg ran in the Stark family.
"I don't know if I want to get into genetics - this is fantasy, not scifi" He replied. "I don't think this is necessarily a 'Stark' ability, though all the children have it to one extent or another. They also realize it to one extent or another. Arya doesn't realize she has it, she keeps thinking she has these weird dreams, and of course Bran is much further along". Thats all I have in of an exact quote in my notes. I believe he went on to say something about how Bran was seeking the crow and then took the next question.
_{The Citadel, So Spake Martin}

Oh, George said all the Stark children of this generation were full Wargs. I thought they were like one shot Wargs and were only bonded to their wolves but no they can warg into just about anything. Bran is just the only one working on it.
_{The Citadel, So Spake Martin}

Are all the Stark children wargs/skin changers with their wolves?
To a greater or lesser degree, yes, but the amount of control varies widely.
Yes I know that Lady is dead, but assuming they were all alive and all the children as well, would all the wolves have bonded to the kids as Bran and Summer did?
Bran and Summer are somewhat of a special case.
_{The Citadel, So Spake Martin}

From these I take it to mean that they are all wargs though only Bran really knows what he is doing. They also seem to imply that the children have had the ability since birth but not the know-how or animal to perform it with. Note that Arya does is subconsciously with Nymeria after forming the close bond.

As for when each first showed evidence of being wargs.

Robb Stark

The quotes are too long to add here but I found a good post on westeros.org that can probably explain it better than I can.

• The secret goat trail that Grey Wind finds that is able to lead Robb's army around the Golden Tooth, a fortress that has held back armies for centuries. How exactly did Robb know about the path that Grey Wind found?
• There is also the conversation in which Catelyn does the Westerosi thing of telling Robb how he should behave as the wolf would and Robb rather angrily responds "I am not a wolf.", on it's own it could be nothing but it is almost identical to the way that Jon thinks when he initially rejects his wolf dreams and that part of him that is in his wolf.
• There is also Robb's last words being "Grey Wind" which again is identical to Jon's last words being "Ghost" when his stabbed.
  _{Robb stark warg?}

Sansa Stark

Although we know she has the ability from the GRRM quote above as far as I know she has yet to show signs of the ability due to Lady's untimely death. My personal opinion is that she won't ever learn to use the ability. However, if she was to learn how to use it I like this theory the best:

Due to her being reffered so many times as little bir/dove, and that birds play important symbolism in her storyarc, most of us believe she will warg birds. That way she could have her own 'net' of little birds and she will find out what's behind LF's machinations...
_{Sansa as a warg}

Arya Stark

She seems to have a lot of wolf dreams as Nymeria even though she hasn't been with he for a while. As far as I know the first of these is after seeing Nymeria at Riverrun and calling to each other.

Her dreams were red and savage. The Mummers were in them, four at least, a pale Lyseni and a dark brutal axeman from Ib, the scarred Dothraki horse lord called Iggo and a Dornishman whose name she never knew. On and on they came, riding through the rain in rusting mail and wet leather, swords and axe clanking against their saddles. They thought they were hunting her, she knew with all the strange sharp certainty of dreams, but they were wrong. She was hunting them.
She was no little girl in the dream; she was a wolf, huge and powerful, and when she emerged from beneath the trees in front of them and bared her teeth in a low rumbling growl, she could smell the rank stench of fear from horse and man alike. The Lyseni's mount reared and screamed in terror, and the others shouted at one another in mantalk, but before they could act the other wolves came hurtling from the darkness and the rain, a great pack of them, gaunt and wet and silent.
_{A Storm of Swords, Arya I}

Bran Stark

Bran starts out having frequent wolf dreams and Jojen tells him what that means.

He was scared, even then, but he had sworn to trust them, and a Stark of Winterfell keeps his sworn word. "There's different kinds," he said slowly. "There's the wolf dreams, those aren't so bad as the others. I run and hunt and kill squirrels. And there's dreams where the crow comes and tells me to fly. Sometimes the tree is in those dreams too, calling my name. That frightens me. But the worst dreams are when I fall." He looked down into the yard, feeling miserable. "I never used to fall before. When I climbed. I went everyplace, up on the roofs and along the walls, I used to feed the crows in the Burned Tower. Mother was afraid that I would fall but I knew I never would. Only I did, and now when I sleep I fall all the time."
Meera gave his shoulder a squeeze. "Is that all?"
"I guess."
"Warg," said Jojen Reed.
Bran looked at him, his eyes wide. "What?"
"Warg. Shapechanger. Beastling. That is what they will call you, if they should ever hear of your wolf dreams."
_{A Clash of Kings, Bran V}

Later on in A Storm of Swords Bran wargs into Summer, has some fights witha pack of wolves and eats some fresh kill.

"I will. I'll remember. I could go back and do it now, if you like. I won't forget this time." But I'll eat my deer first, and fight with those little wolves some more.
Jojen shook his head. "No. Best stay, and eat. With your own mouth. A warg cannot live on what his beast consumes."
_{A Storm of Swords, Bran I}

Rickon Stark

Again we don't have a POV chapter for Rickon to work off of but both boy and wolf show some that they are very close and almost alike. The quote below is what first shows that they are very similar.

In the yard below, Rickon ran with the wolves.
Bran watched from his window seat. Wherever the boy went, Grey Wind was there first, loping ahead to cut him off, until Rickon saw him, screamed in delight, and went pelting off in another direction. Shaggydog ran at his heels, spinning and snapping if the other wolves came too close. His fur had darkened until he was all black, and his eyes were green fire. Bran's Summer came last. He was silver and smoke, with eyes of yellow gold that saw all there was to see. Smaller than Grey Wind, and more wary. Bran thought he was the smartest of the litter. He could hear his brother's breathless laughter as Rickon dashed across the hard-packed earth on little baby legs.
_{A Game of Thrones, Bran IV}

Once again I've found a post from someone who's worded it better than I ever could so i'll just post that here.

All the Stark siblings are “wargs”, and in AGoT, Martin insinuates that those without POV narratives are also experiencing supernatural powers that link them with their direwolves. Readers need to attend to Bran’s POV’s in which he describes the “shared” behaviors of the Starks and their direwolves.
After Bran’s crippling fall, after Robb’s departure from Winterfell, and after Bran’s parents and sisters depart for Kings Lading, Rickon tightly bonds with his direwolf Shaggydog, and their undisciplined behavior mirrors one another. Without attentive parenting governing his day to day activities, Rickon withdraws more into himself and depends more on Shaggydog for companionship. In turn, Shaggydog is but a pup and needs a firm hand in training, but his four-year-old master seldom corrects Shaggy’s misbehavior; moreover, Shaggy does not have his pack mates to follow, but for Summer, the direwolf devoted to Bran. Clearly, Rickon is too young for the responsibility of training a pup, especially since he himself has not yet been tutored in comportment in a variety of social situations. As a result, Rickon and Shaggydog feed on the wild “wolfish” nature inbred in both of them. Without discipline and self-control, the collective fates of boy and wolf might be weighty with challenges unless Rickon learns to harness the warg within him that is eager for action.
In Bran’s POV, he describes Rickon as wild as a “winter’s storm” and he describes Shaggy as “wild as Rickon”, so Rickon and Shaggy mirror one another. With Shaggy at his side, Rickon visits the crypts at least twice, both times without illumination to guide him. Through Shaggy, Rickon appears to be without fear, and perhaps through Shaggy Rickon is able to see in the pitch black darkness of the crypts. Moreover, Rickon’s dream about Ned in the crypts is prophetic, and later in the series the OP will learn who is behind some of these visions; thus, the enigmatic dreams appear to be a part of the onset of the warging gifts.
_{Is Rickon a Warg too?}

Jon Snow

He experiances wolf dreams with Ghost and actually wargs into him to scout out the wildling army. Though I'm not sure how in control he was.

Don't be afraid, I like it in the dark. No one can see you, but you can see them. But first you have to open your eyes. See? Like this. And the tree reached down and touched him.
And suddenly he was back in the mountains, his paws sunk deep in a drift of snow as he stood upon the edge of a great precipice. Before him the Skirling Pass opened up into airy emptiness, and a long vee-shaped valley lay spread beneath him like a quilt, awash in all the colors of an autumn afternoon.
A vast blue-white wall plugged one end of the vale, squeezing between the mountains as if it had shouldered them aside, and for a moment he thought he had dreamed himself back to Castle Black. Then he realized he was looking at a river of ice several thousand feet high. Under that glittering cold cliff was a great lake, its deep cobalt waters reflecting the snowcapped peaks that ringed it. There were men down in the valley, he saw now; many men, thousands, a huge host.
_{A Clash of Kings, Jon VII}

Jon's abilities as a warg are discussed further in this related question.

---

Game of Thrones

The show is slightly different in that only Bran has shown the ability to warg whilst the other children haven't. They all have strong bonds with their wolves but that appears to be it.

Bran first started getting dreams involving the Three Eyed Raven shortly after waking from his coma. (Pure speculation) But I believe in the show the visits from him helped awaken Bran's warging abilities.

He first wargs into Summer in a "dream" which ends in him watching himself wake up throughy the wolf's eyes. This happens in Season 2 Episode 3, "What Is Dead May Never Die". Jojen also tells Bran he is a warg in this scene when he tries to convice Bran to warg into Summer after he did it with Hodor.

Jojen Reed: The wolves are out there.
Bran Stark: I can’t do it by choice. I don’t know how. It happens in my dreams.
Jojen Reed: You’re a warg, Bran. It’s in your blood.
Bran Stark: I can’t.
Jojen Reed: You just did, with him. A wolf is nothing compared to that.

You can view that scene here: