Sam was still there at Castle Black when Jon returned from Hardhome, so he didn't leave until the last episode last season. Obviously this season has picked up immediately in time after the last episode last season, so he couldn't have gotten all that far yet, so no real reason to show him yet. The trailer for the season showed him and Gilly on a boat. Plus they have cast his father and maybe some other family members, so I expect him to eventually have more scenes this season.
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