eh that's mostly book commentary not TV. In the books nothing good happened, brienne doesn't rescue Sansa she's still in the vale getting raped by either little finger or harry hardyng (we won't know who's doing the raping til the next book if it's ever published) and it's a fake Arya getting raped by Ramsey in winterfell (sansa's childhood friend, you saw her season 1 but she had no speaking part). Baelish captured her during the purging of the northern forces/execution of Ned in book 1 and has been pimping her out in one of his brothels for a few books until the Lanister's needed a fake heir to buy the bolton's loyalty so he masquerades her as Arya.
Theon does end up saving her and convinces her to keep up the act but then they're all captured by Stannis along with his sister.
Stannis and his army just got obliterated, we don't know the fate of the girl or the greyjoys.
Brienne and Podrick also just got captured by lady stone heart (Undead Caitlyn, leading the remnants of the brotherhood without banners, Beric Dondarion died resurrecting Caitlyn.) And Brienne was released to go and trick Jaime into a trap so the brotherhood can kill them.