When Ned Stark found Lyanna, after fighting the King's Guard protecting her, she was dying, but managed to talk to him before she died.
Ned took her back to Winterfell to be buried in their crypt.
If it's true that:
Lyanna Stark is Jon Snow's mother, and that she died giving birth to him. Then presumably he returned with Jon Snow at the same time.
Did Ned return to Winterfell with both Lyanna Stark's body, and baby Jon Snow, or did they arrive at separate times?