When did Theon get captured?

Season 3. Theon is taken captive and tortured in an unknown castle, but later manages to escape with the help of a serving boy who claims to work for Yara. He is brought back to the very castle he escaped from, the serving boy proving to actually be his captor, Ramsay Snow.

How does Theon get captured by Ramsay?

Roose Bolton’s bastard son Ramsay Snow has been sent to secure Winterfell from the ironborn and bring Theon back to Robb Stark alive. However, Roose plans to double-cross Robb and after the ironborn turn on Theon and surrender themselves to Snow’s forces, he has them all killed and secretly captures Theon.