Summary
Game of Throneslore says the known world consists of three discovered continents: Westeros, Essos, and Sothoryos, as well as other large landmasses and archipelagos. As a matter of fact, Essos, more specifically the Free City of Pentos, is first depicted inGame of Thronesseason 1, episode 1 “Winter Is Coming,” through Daenerys' gaze. Located on the Western coastline of Essos, Pentos is among the nine Free Cities, namely, Braavos, Lorath, Norvos, Qohor, Myr, Tyrosh, Lys, and Volantis. It is separated from Westeros by the Narrow Sea.
As seen inGame of Thrones, Pentos is a beautiful, rich city-state. Daenerys lives at the Pentoshi Magister Illyrio Mopatis' manse, and he brokers her marriage to Khal Drogo. Similarly, theGame of Thronesprequel -House of the Dragonreveals thatKing Viserys I Targaryenhas sent envoys to the Free Cities, namely Pentos and Volantis on diplomatic missions. While Westeros is the primary seat of action inGame of Thrones, Daenerys' arc and character development are closely tied to the continent of Essos. It is the cradle of civilization, the largest of the known continents, and home to diverse peoples and cultures.

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The Continent Of Essos
Essos is also referred to as the East in the lore. It lies towards the north of Sothoryos, and is bounded on the north by the Shivering Sea and the Summer Sea in the south. Towards the east of Essos, across the Jade Sea, is Asshai. Essos is said to belarger than Westeros,
and its major physical regions include the Free Cities, Kingdom of Sarnor, the Dothraki Sea, the Shivering Sea, the Valyrian Peninsula, Slaver’s Bay and Ghiscar, Lhazar, Qarth, Eastern Essos. The Targaryen dragonlords, one among the highest of erstwhile Valyrian nobility inGame of Thronesare the Blood of Old Valyria. Valyrian Peninsula was home tothe mighty Valyrian Freehold- one of the earliest urban civilizations in the Known World that was destroyed by a cataclysm. The dragonlords of Valyria lived at the Volcanic Face, which the lore says was close to their source of magic and power.

House Targaryen’s self-exile and migration to Dragonstone came much later, but the fact is, the Valyrian civilization thrived much before any Westerosi civilization. The bloodmages, the Valyrian architecture, urban planning, physical structures, and histories all point to the fact that Valyria was not only sophisticated but far ahead of its time.
InHouse of the Dragon, when Alicent Hightower asks if Westeros can be another Valyria of the bygone (advanced) era, Viserys I remarks:

That depends, on whether you speak of the Freehold at its height or at its fall. Over a thousand dragons, a navy large enough to span the seas of the world. The glory of Old Valyria will never be seen again.
Andal Invasion
Six thousand years beforeGame of Thrones’the War of the Five Kings, Westeros was invaded and populated by the Andals who came from Andalos in northwestern Essos. As with any invasion, the Andals displaced the indigenous peoples of Westeros, such as the First Men. Massive migration waves of the Andals span over many centuries and towards the end of the invasion, they had significantly altered the demography of Westeros, so much so that, people in Essos refer to Westeros as the Land of the Andals. The Andals' settler colonialism was made possible by their superior military technology such as weapons of steel. They pushed the Children of the Forest away by killing them, destroying their Weirwood trees, hacking away at the faces of the Old Gods, and spreading their own religion through the land. Religion played a central role in the Andal colonization of Westeros, and they instilled their belief (the Faith of the Seven) in the peoples of Westeros.
Essos And Westeros
Essos and Westeros are two more important continents in theGame of Throneslore, and people of one always seem to be aware of the happenings in the other. Cersei knew ofDaenerys' campaigns in the Slaver’s Bay (the Bay of Dragons). Similarly, the Qartheen merchant, the Spice King was aware that Daenerys didn’t have any allies in the Seven Kingdoms, back inGame of Thronesseason 2. The people of Essos are descendants of ancient cultures, take say, the First Men, the Andals, the Rhoynar, old Ghis, and Valyrian Freehold.
Essos and Westeros have a connection via the Stepstones - the strategically situated chain of Islands between the Narrow Sea and the northwestern Summer Sea. Legend says that the two continents were once joined by a land bridge (the Broken Arm of Dorne) which made it possible for the First Men to invade Westeros. This isthmus was destroyed by the Children of the Forest with magic.House of the Dragonseason 1, episode 1 “The Heirs of the Dragon,” said pirates, corsairs, and raiders occupy the Stepstones. Corlys Velaryon reports to Viserys that an alliance has formed among the Free Cities of Myr, Lys, and Tyrosh, named itself the Triarchy, and started to rid the Stepstones of the pirates.Viserys' Master of Ships, Corlysadvises him to keep the actions of the Triarchy under check, but he fobs him off. True to Corlys' fear, the shipping lanes start to fall, and the Myrish Prince Admiral, CraghasDrahar’s forces start to attack Westerosi ships. Eventually, Prince Daemon Targaryen and Lord Corlys wrest control of the Stepstones from Drahar and his forces. Daemon defeats him in single combat and is crowned as King of the Narrow Sea, but he bends the knee to Viserys:
My crown and the Stepstones… are yours.
Thus, the crown secures control of the desirable strategic point to help ensure vibrant trade and security of Westeros inGame of Throneslore.