“The Broken Man” is a massive leap in quality from the previous episode, not simply because Sandor Clegane is back (even though that is ridiculously exciting), but because the episode as a whole cohered into something more complete than the last. This episode revolves around the idea that people are often the source of their own pain because they expect something only to realize that the systems around them are propagating something different. Whether it’s a misplaced sense of hope, a thick layer of delusion, or a miscalculation, people run into disappointment and tragedy as a result of this disconnect, often because reality is too difficult to contend with.
Just look at Sandor Clegane. He’s clearly remorseful for the actions he committed in his past. He realizes that he has lived off of hate for as long as he can remember. He wants some semblance of peace in his life. And he seems to have found it in this small, peaceful religious group that is open to dead of spirituality over organized religion. But, of course, one organized religious group (The Brotherhood Without Banners) finds offense with their approach and slaughters all of them, except for Sandor, who finds them all dead. He realizes that his life of peace is a delusion, that he’ll always have to fight. And so he sets off, ax is hand, to live the life he knows is laid out for him.
The Starks don’t do much better. Arya, in her one scene in the episode, believes that she’s tough enough to just walk away from the Faceless Ones, only to be badly wounded by The Waif, stabbed multiple times and left for dead. Sansa believes that her Stark name is enough to call the North to Jon’s side, but is shut down when reminded of her marriage to Tyrion and then her marriage to Ramsay. Sure, she might be doing what she has to in order to survive, but some people only care about the technicality of the situation. Her perfectly reasonable explanation and her plea for fealty to the Starks doesn’t account for the reality that Robb wasn’t great for the North, his campaign essentially a disaster.
And that leaves Jon with a small army to go up against Ramsay’s larger army, not to mention that Jon’s army is far more fragmented. Jon assumed that he could talk more houses into siding with him, but his lack of resources and his standing as a bastard were working against him. Sansa goes behind his back and writes a letter (presumably to Littlefinger), but this all shows how desperate Sansa and Jon really are after making such an egregious miscalculation. Instead of storming Winterfell and quickly taking it from Ramsay, they’re at a clear disadvantage, the outcome unclear (though we can probably guess that, based on storytelling conventions, Jon will probably be victorious somehow).
The Lannisters are also having a particularly tough time, as Cersei has essentially lost King’s Landing to the Sparrows and Jaime is forced to fight a worthless siege on Riverrun. He wants the siege to be over quickly so he can return home to help Cersei, but the Blackfish is set on fighting the siege to the death of every man. And considering how heavily fortified Riverrun is, Jaime would expect a bloody battle if he were to directly attack. He’s an outcast now instead of the warrior he once was, forced to fight the scraps of an old war that somebody else (the Freys) messed up. Cersei, as Olenna points out, is completely surrounded by enemies, hoping that the Mountain is somehow going to save her. Her house and House Tyrell are on the edge of collapse, and Cersei is about to see if her own delusion is going to destroy her as well. It’s entirely possible that Jaime is going to return to a graveyard when he comes back to King’s Landing, the Sparrows and the Lannisters and he Tyrells having essentially torn each other to shreds.