The quest can be started in two ways. The first is by speaking to Fralia Gray-Mane in Whiterun. She will tell the Dragonborn that her son is missing, but alive, regardless of what anybody says, and that she would like to discuss it in private at her home. Once there, Thorald's brother Avulstein will explain the situation further. Alternately, the quest can be started by talking to Avulstein directly. Either way, Avulstein explains that they would like any proof that Thorald is indeed alive, and they want him found.
There are a few ways to go about getting proof from the Battle-Borns. The most direct is to sneak into their house (the back door is unlocked for this purpose) and find the book Imperial Missive on the desk. The book is located behind a locked door. It will state that Thorald has been taken prisoner by the Thalmor, and relocated to Northwatch Keep.
Instead of stealing the evidence from the Battle-Born house, the Dragonborn can try confronting Jon Battle-Born with knowledge of his tryst with Olfina. To do so, first pickpocket him for a letter from Olfina. After bringing it up with him, Jon will agree to bring the Imperial missive to the Dragonborn at the Statue of Talos.
It is also possible to persuade Idolaf Battle-Born into giving the information, but it requires a relatively high Speech level (confirmed level 90 without perks or fortifying equipment on PS3 31/10/2012; confirmed 75 or above on PC 23/12/2012).
With the knowledge of Thorald's location, the Dragonborn can choose to relay it to Avulstein and join his group in attacking the fort, or simply go alone. Head to Northwatch Keep.
Note that there is an unmarked quest objective, Find a Way to Release Thorald From Custody, but the option to do so is not available. If the Dragonborn speaks to the front guard of Northwatch Keep and tells him that they've come for Thorald, the guard will refuse to confirm whether they hold a prisoner by that name, and say that a prisoner can only be freed by order of the Imperial Legion. General Tullius in Solitude can be asked to release Thorald, but he will only say this would cause too many problems. (This option is glitched and there is currently no way to use it on PS3 or Xbox, and needs mods on PC.)
Once at Northwatch Keep, the Dragonborn can fight through waves of Thalmor guards throughout the fort to find Thorald. The guards use shock spells, and leveled weapons and armor. Alternately, there is a side entrance protected by a single guard and a Master-level lock that can be picked. This will make the trek through the Keep much easier, requiring only a fight through a single room with a few enemies.
Proceed through the Keep to the prison area. Thorald Gray-Mane is chained to the wall in the back of the room. Kill the Northwatch Interrogator to free him. He will grab a nearby weapon to help protect himself before following the Dragonborn.
After exiting, Thorald will thank the Dragonborn for saving him. He will then explain that it is not safe for him to return to Whiterun, as the Thalmor will be after him now. He states that he will join the ranks of the Stormcloaks to blend in, and gives the Dragonborn a message to pass on to Thorald's mother: "Suffer the winter's cold wind, for it bears aloft next summer's seed." He then parts ways.
Once the Dragonborn approaches Fralia with the news of her son's survival, she will ask for proof. Give her Thorald's message. She will give thanks for bringing her the peace of knowing that her son is alive and safe, and not locked up in a prison cell. She then rewards the Dragonborn with a Skyforged weapon of choice or an enchanted steel weapon, originally intended for Thorald, and the quest is complete.
If Eorlund, Fralia's husband, has died anytime before the conclusion of this quest, Fralia will say that she doesn't have much to offer due to the passing of Eorlund and will be able to give 200 instead of the weapon.
PC Giving the letter from General Tullius to the Northwatch Keep gate guard gets the response that he will lead them to Thorald Gray-Mane but he just stands there. The letter does not leave the inventory and the conversation can be repeated with the same result. Trying to walk past the gate guard results in the entire keep becoming hostile, even after giving them the letter.
After talking to Fralia no new objective is given.
After obtaining the evidence and speaking to Avulstein, there is a dialogue option that allows seeking a diplomatic solution to release Thorald. A unique quest option, 'Find a Way to Release Tharold From Custody' will appear in the journal, but no quest markers aside from that at Northwatch Keep will appear on the map. If the Dragonborn attacks anyone at Northwatch Keep or attempts to sneak past them, this quest option will be failed and replaced with the simple command to attack and free Thorald. The likely intended destination for this quest line is the Thalmor Headquarters in Solitude, but this room contains no characters. If the Dragonborn speaks to the front guard of Northwatch Keep and tells them that they're here for Thorald, he will say that a prisoner can only be freed by order of the Imperial Legion. General Tullius in Solitude can be asked to release Thorald, but he will say that this would cause too many problems. This is true even if the Dragonborn is a Legate in the Imperial Legion.
Joining the Legion and even finishing the Legion's quests does not change General Tullius' answer.
PC 360 PS3 Avulstein becomes hostile to the Dragonborn for no known reason upon the their arrival at Northwatch Keep. Lose him and fast track anywhere away from him then fast track back. If this does not work, go into Northwatch Keep and he will fight alongside instead of remaining an enemy.
After Thorald is freed, he will grab any available weapon and run behind the Dragonborn, but if all the weapons in the room have already been picked up, he will just stand around and won’t follow. Drop a shovel or woodcutter's axe to solve this. If a weapon is tried to be given him through reverse pickpocket, he will become hostile.
PC 360 PS3 If the fort is exited with Thorald through the jail room, it may cause the marker to be placed next to a rock outside the dungeon, and when there, nothing else will happen. If the outside has been cleared, it's worth to try waiting for one hour. Thorald should show up the quest advances. If this doesn't work run to the main door of the keep and the quest should advance as normal. If that also fails, the only way to complete the quest is to reload an earlier save. To avoid this bug exit the dungeon through the main door.
PC PS3 The above bug also happens vice versa. If going through the main entrance causes Thorald to despawn, try the side entrance. If the side door's lock hasn't been picked and the Dragonborn can't pick it, they are still able to exit through it using the key dropped by the interrogator.
If on PC, the issue with Thorald despawning can be fixed by selecting him in the console while inside and typing "Moveto player" once outside. This will teleport him to the Dragonborn and allow them to finish the quest.
There is another bug in which Thorald may attack if the Dragonborn enters alone.
360 If the entire keep is cleared before the quest is started, and Aela the Huntress is a companion, then using the side exit once Thorald is free causes the quest to hang. The quest marker is moved, as described above, to a rock north of the keep. If the Dragonborn goes to the marker, Thorald comes running from the north and repeats his plea to get away from the keep quickly. Even bringing Thorald before his brother in Whiterun via fast travel will not fix this problem. Using the front door of the keep has problems that can be resolved: The marker is in the same location north of the keep. Go to just south of the quest marker between the keep and the rock. Eventually Thorald will come running from the keep to resolve the quest normally.
If standing just south of the rock where the quest marker is located does not un-hang Thorald, try standing in front of the door to the keep. Thorald will come running up and the conversation with him giving thanks will be triggered.
360 If Northwatch Keep has been cleared before starting the "Missing in Action" quest then entering either of the keeps doors may cause the game to crashe on the load screen and the Xbox has to be restarted.
Even after clearing Northwatch Keep of guards and opening the prisoners' cells, the prisoners don't escape. They will still act like prisoners and be curt if spoken to.
Sometimes a thief being chased by a hunter (with Whiterun faction) will happen by the fort. Killing the hunter will result in a bounty in Whiterun being created. Avulstein will then become hostile and attack the Dragonborn. Return to Whiterun, pay the fine, and Avulstein will help again.
Thorald may not attack guards during the escape, and will instead just follow. Upon exiting, he can be talked to, initiating the dialogue as if the escape was successful regardless of whether or not any guards are still hostile outside. The area can be exited and the guards will not pursue beyond the main gate, and Thorald will turn around and head back into the prison.
After speaking with Fralia to initiate the quest, picking and entering her home during trespassing hours will initiate the next dialogue in the quest, but render the Dragonborn permanently trespassing, preventing its continuation.