"Thousands of years ago, there came a night that lasted a generation. Kings froze to death in their castles, same as the shepherds in their huts; and women smothered their babies rather than see them starve, and wept, and felt the tears freeze on their cheeks... In that darkness the White Walkers came for the first time. They swept through cities and kingdoms, riding their dead horses, hunting with their packs of pale spiders big as hounds."
Old Nan.

The Long Night refers to a period in Westerosi history where a terrible darkness fell across the Known World. It occurred during the Age of Heroes in approximately 7,000 BC, in the midst of a great winter that lasted for a generation. It laid waste through famine and terror, and with it came the Others, who devastated the civilizations of the First Men and the Children of the Forest until they were finally forced to unite and fight back, starting the War for the Dawn. In this war, the Night's Watch was founded, who beat back the Others and erected the Wall, ending the Long Night.