When They Were Last Together: Stormborn (S7E2)
What Happened Then: Euron attacked their ship, and took Yara hostage. Their uncle dared Theon to try and save her, but with him still scarred by what happened with Ramsay, he fled and left her behind.
What Happens Now: Theon makes good for what happened, and for not going with Yara back in Season 4 too, by saving her from Euron. She's now off to reclaim the Iron Islands, while Theon will go fight at Winterfell.