Back in King's Landing, Jaime learns that his sister's change of heart was too good to be true. She has no intentions of sending any of her men North or upholding a truce. Oh, and Euron's song and dance about returning to the Iron Islands was all a lie, too. He's actually off fetching the Golden Company in order to expand Cersei's army. Jaime is suitably appalled. He made a vow to fight for the living, and he believes the only way to truly protect his family is to go North and stay true to his word.
When faced with the possibility of Jaime walking away from her, Cersei threatens to kill him. But Jaime calls her bluff and walks out. He's last seen presumably heading North as a snowflake lands on his gloved hand.