In The Ice Dragon, we learn from Adara that the creature lives far to the north of her land. In one chapter, she thinks twice about "the land of always-winter," where she believes the Ice Dragon lives. There, "great ice castles and cathedrals of snow stood eternally in endless fields of white, and the stillness and silence were all." The "Land of Always Winter" also makes an appearance in the Ice and Fire novels. It's located far to the north in Westeros, as far north as one can go, beyond the Frostfang mountains. It's believed the area has always been locked in perpetual winter, and is largely unexplored. Some legends claim that the White Walkers first emerged from this area ages ago during the Long Night. Interestingly, one constellation in the night sky of Westeros is called "The Ice Dragon," the blue "eye" of which acts like our North Star—lost adventurers can use it to always find north.
Another area mentioned in connection with Ice Dragons in the novels about Westeros is the Shivering Sea, a vast, cold ocean which lies to the east of Westeros and north of the entire continent of Essos. We've seen it a couple of times onscreen—both at Hardhome (pictured above) and when Jon's boat came to Eastwatch. To the north of the Shivering Sea is the White Waste, an area of perpetual ice and frozen tundra, with shorelines that change depending on the season. Sailor's legends surrounding the Shivering Sea claim Ice Dragons live there, and that they're much larger than Valyrian dragons, made entirely of ice and with translucent wings—a description very similar to that found in The Ice Dragon.
