It was one of the very first locations seen on the show, in the first episode of Season One. While the interior scenes — such as the underground crypts and the large dining hall where Jon and Sansa hold court with their allies in Season 7 — are filmed
on soundstages, exterior Winterfell scenes are shot at Castle Ward in the town of Stangford, Northern Ireland.
Some of the scenery is from the actual castle itself, mostly filmed in the property's farmyard. The rest is artificial, built by the production, but still situated on the estate grounds. Winterfell is such a popular location for fans that Castle Ward has GoT-related attractions and tours available to visitors.
About an hour and a half north of Castle Ward is the wide open countryside of Knockdhu Promontory Fort. This is the location where poor Will, the Night's Watch deserter from the pilot episode, lost his head to Ned Stark's sword. Twenty minutes northwest of Castle Ward is where you'll find Rowallane Garden in the town of Saintfield, where Godswood scenes are filmed.