Thorald Gray-Mane is a Nord being held captive by the Thalmor in Northwatch Keep. Due to the Thalmor suspecting him of having links to the Stormcloaks, he has been been abducted with the help of clan Battle-Born, and is being held prisoner at Northwatch Keep.
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 a book on a bureau, the Dragonborn discovers that the Thalmor apprehended Thorald, suspecting him of working with the Stormcloaks. 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.