In both the books and the series, Vaes Dothrak is a city of tents and a handful of permanent wooden structures (such as the Temple of the Dosh Khaleen). However, Jorah and Daario are attacked in an alleyway formed by buildings of mud bricks.
Tyrion claims that a clever man once told him "We make peace with our enemies, not our friends". Littlefinger said that sentence (You Win or You Die (2011)), not to Tyrion but to Ned Stark, and Tyrion was not present.
The High Sparrow tells Margaery that he left his shoes behind the day he walked away from finery. In High Sparrow (2015), he told Cersei that he had given his shoes away to someone who needed them more. This is not contradictory; from the High Sparrow's perspective, anyone who could have found his shoes would, thanks to his newfound enlightenment, per definition need them more than him.
Sansa tells Jon that Roose Bolton is dead, killed by Ramsay, although she has no way of knowing it, since she escaped from the Boltons before Ramsay killed his father. However, letters have been sent to all over the kingdom saying that Roose is dead, and since Sansa knows Ramsay all too well she knows that Roose must have been murdered by his own son rather than poisoned by his enemies.
The High Sparrow tells Margaery his father was a cobbler, but describes his work as that of a shoemaker (cordwainer) - a cobbler is a shoe repairer, a common error but one that should not be made by someone who was so close to the business.
Jon tell Sansa that if he let anything happen to her, their father's ghost would "come back and murder [him]". In the previous episode, Jon said that he saw "nothing" while he was dead. Therefore it seems strange that he would joke about ghosts after such a recent encounter with death, which left him with the sense that nothing follows death.