Things didn't look too rosy for Daenerys at the end of Season 5, as the Mother of Dragons and one of her offspring landed in a bit of a wasteland, and she was quickly surrounded by a khalasar. Would these be friendly faces, or could she perhaps bend them to her will? Probably not, with the expectation being that they would instead capture her and take her to their leader, and that's the scene we get in the trailer. She's downtrodden and dirty, and being forced to walk alongside the horses as she is lead to Vaes Dothrak, the meeting place of all the Dothraki khalasars for trade, but not fighting. That means harm won't be coming to Dany, but she is definitely a prisoner, and depending on whether or not they know who she is a trade chip as well, likely to go to the most powerful Khal around. She may yet be able to swing them round to her cause, either through promises or threats (there is the not-so-small matter of Drogon to consider), but for now she is indeed held captive by the Dothraki.