Season 6 spoilers.
In s06e06, Benjen rescued Bran and Mira from wights. After that, he told that during his fateful ranging beyond the wall, he was attacked by White Walkers. One of them shoved an ice sword into his gut and left him for dead. He was discovered by the Children of the Forest, who saved him and stopped him from becoming a wight by shoving a piece of dragonglass into his chest.
According to Martin, in books, Benjen is not Coldhands.
But showrunners in "inside the episode" video called character, who saved Bran and Meera, Coldhands