Thorald Gray-Mane is a Nord and a member of the Gray-Mane clan. He is the missing son of of Eorlund and Fralia Gray-Mane, the brother of Avulstein and Olfina Gray-Mane, and the nephew of Vignar Gray-Mane.
Thorald joined the Stormcloaks to fight the Empire and disappeared sometime afterwards. Later on, it is discovered that he was abducted by the Battle-Borns during a skirmish and that he was later handed to the Thalmor. He is held captive in Northwatch Keep. Although many say he just died, Fralia Gray-Mane and her son Avulstein Gray-Mane believes the Imperials have him alive and that the Imperial loyal Battle-Borns have something to do with his disappearance. In truth, the Imperial Legion knows the Thalmor have Thorald prisoner and has tasked clan Battle-Born to inhibit any inquiries of his disappearance.
Running on the motherly intuition of Fralia Gray-Mane, the Dragonborn investigates the House of the Battle-Borns in Whiterun as to the whereabouts of her son. Finding an Imperial Missive on a bureau, the Dragonborn discovers that the Thalmor apprehended Thorald. The Thalmor were holding him prisoner at Northwatch Keep. Alongside his brother, Avulstein, the Dragonborn heads to Northwatch Keep to rescue him.
After being rescued, he says he'd better leave Skyrim or join the Stormcloaks in order to evade the Thalmor. In his testimonial after leaving Northwatch Keep, he affirms that he's not sure about how much time has passed since he was abducted, but estimates it may be more than a year.
He asks the Dragonborn to tell his mother, Fralia, a secret message to be decrypted by her. After escaping the Keep, Thorald joins the Stormcloaks so as to take the fight to the Thalmor agents. Henceforward, he may be seen in Windhelm telling Ulfric Stormcloak's second-in-command, Galmar Stone-Fist, that he wishes to fight for the Stormcloaks.