The King owns all of Westeros. But he's like, bloody hell, I can't micromanage every jot of land. I'll keep the Crownlands for myself to manage. Lords Stark, Lannister, Martell, Tyrell etc. you each take this piece of my land and manage it for me. And Ned Stark's like, blimey, this North is pretty big. I'll keep Winterfell for me to manage. Lords Bolton, Umber, Karstark, Cerwyn etc. each of you have a piece of my land and manage it for me. And so Roose Bolton is like, bloody hell, I can't manage all of this. I'll keep the Dreadfort for me to manage... and so on.