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Do we know exactly by whom and when, where the main roads built?
By main roads, I mean named roads, that show on maps such as Kingsroad, Roseroad, Ocean road...
I know the Kingsroad was built by King Jaehaerys, and Roseroad is also probably Targaryen era, as it connects King's Landing, and the "Rose" refers to Tyrell instead of "Garden road", and that as Kings Landing is new, the road connecting Kings Landing is also probably new, but what about the others?

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    Hang on a second while I pull out my Westeros infrastructure charter. – BlackThorn Jan 19 '18 at 23:22
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The major roads departing King's Landing were all built by Jaehaerys

Kingsroad, Roseroad, Goldroad, Causeway, River road and Rosby Road.

Furthermore, the Conciliator began the construction of the great network of roads that would one day join King’s Landing to the Reach, the stormlands, the westerlands, the riverlands, and even the North—understanding that to knit together the realm it must be easier to travel among its regions. The kingsroad was the greatest of these roads, reaching hundreds of leagues to Castle Black and the Wall.
The World of Ice & Fire - The Targaryen Kings: Jaehaerys I

This most likely includes, the Kingsroad, the Roseroad, the Goldroad, the Causeway, the River road and the Rosby road.

The high road

The high road from the Riverlands to the vale has existed for centuries and may have been built at a similar time as the Bloody Gate, in the reign of King Osric V, it may however have been built earlier by the First Men, as they had built an unmortared wall there.

The high road from the riverlands through the Mountains of the Moon has seen much blood spilled, for steep and stony as it is, it provides the most likely way for an army to enter the Vale. Its eastern end is guarded by the Bloody Gate, once merely a rough-hewn, unmortared wall after the fashion of the ringforts of the First Men. But in the reign of King Osric V Arryn, this fortress was constructed anew. Over the centuries, a dozen invading armies have smashed themselves to pieces attempting to breach the Bloody Gates.
ibid. - The Seven Kingdoms: The Vale

Ocean road

We do know, at the time of Aegon I conquering Westeros, the Ocean road has already been built:

In the west, King Mern of the Reach rode the Ocean Road north to Casterly Rock to meet with King Loren of House Lannister.
ibid. - The Reign of the Dragons: The Conquest

Prince's Pass

Similarly, the Prince's Pass had existed at the time of Aegon's Conquer

A host of Dornish spearmen guarded the Prince’s Pass, the gateway through the Red Mountains, but Rhaenys did not engage them.
ibid.

It was however known as the Wide way, before being renamed the Prince's Pass

As a boy, he turned back the Dornish when King Ferris Fowler led ten thousand men through the Wide Way (as the Prince’s Pass was then called), intent on conquest.
ibid. - The Seven Kingdoms: The Gardner Kings

Boneway

The Boneway had also clearly existed long before the coming of the Targaryens and featured in the Rhoynar invasion of Dorne.

“When Mors Martell fell to Yorick Yronwood’s sword in the Third Battle of the Boneway, Princess Nymeria assumed sole command of his armies.
ibid. - Ancient History: Ten Thousand Ships

Others

Any other additional roads may have been built by either the First Men or the Andals, as the High Road, Ocean road, Prince's Pass and Boneway show, they were capable of producing roads.

That just about covers all the roads found on this page about roads at A Wiki of Ice and Fire.

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