Soldiers walk in single file. That doesn't narrow it down, because pretty much every army we've seen tends to walk in single file. Even the wildlings north of the Wall do that. But this group in particular is the Unsullied, which ought to mean they're in Yunkai (as seen in the opening credits). But they don't seem to be anywhere in particular, so maybe they're just on their way there. I guess it would have been impractical to load everybody onto that one boat Daenerys had. Jorah and Selmy reminisce about Thoros of Myr and his flaming sword. Jorah remembers being knighted and just needing to piss after sixteen hours in full armor. Selmy says Robert was a great warrior and a terrible king. He states his character goal: "Just once in my life, before it's over I want to know what it's like to serve with pride. To fight for someone I believe in." Jorah says he believes in Daenerys. I kind of do, too, since she's the only one with dragons.
Speaking of Daenerys, she meets with the officers that the Unsullied selected from amongst themselves. She tells them they're free men now and asks if they've selected their leader. They have! She has him remove his helmet. His name is "Grey Worm." Missandei explains they all get new names when they're cut. Names like Grey Worm, Red Flea and Black Rat. Basically names of vermin. Daenerys tells them they can choose their own names. She wants them to throw away their slave names and pick new ones. They can go with the names their parents gave them or pick new ones. This is a great opportunity to rebrand yourself as "Steve Awesome" or something. Grey Worm says he actually likes the name "Grey Worm." Here's his logic: "It is a lucky name. The name this one was born with was cursed. That was the name he had when he was taken as a slave. But Grey Worm is the name this one had the day Daenerys Stormborn set him free." Well... I guess. I still like "Steve Awesome," though.
Back to Selmy and Jorah. Selmy says he wasn't on the small council when it was decided that Daenerys should die. Jorah was the person who was spying on her for Varys, which directly resulted in the attempts on her life, but he doesn't mention that here. The reason Selmy wasn't on the small council is that Robert didn't like that Selmy fought for the Mad King. Unlike Jaime, Selmy stayed true to his Kingsguard duties even when Aerys was clearly crazy. Jorah says he doesn't like the world of politics, because it's full of people worrying about backstabbing. Selmy says Jorah's reputation in Westeros has suffered. Jorah says that makes sense, because he sold men into slavery. Selmy says he's not sure Jorah's presence will help "our cause" when they roll back into Westeros. Jorah doesn't trust Selmy: "You're not Lord Commander here. You're just another exile. And I take my orders from the queen." So they're not getting along. Make a note.