Oh yes, definitely winterfell and it might not have looked the same because it got burnt down and they were clearly doing some rebuilding as well as displaying some flayed bodies.
Yeah....it didn't look like Winterfell to me at all. I had thought Winterfell was set amidst Forestry....not out in the middle of what looked like swampland?? Even the first episode had the crew riding on rolling hills and what not to go behead the Night's Watch deserter. That scenery of Brianne looking down on them as they rode to the city.....the landscape was harsh and swamp like??
That wasn't Winterfell, that was Most Cailin, a fortress that is like the "gateway to the North" so was probably used to signify Sansa and Littlefinger were entering the North. The city they entered later in the episode (where the Boltons are) is Winterfell, which is in the North.
Winterfell isn't really in forest, it is shown out on a field with hills in the background I believe. Most Cailin is surrounded by marshes and swamp, which is why it is such a good obstacle to entering the North.
And yeah, I agree it can be confusing where people are because long journeys are completed in such short screentime. This has always happened in the show (people often point out Littlefinger's travels in season 2, but actually they are no worse than characters like Catelyn in season 1, and I think are picked up on more because book readers didn't already know where he was going and so were surprised), but I think it is getting more frequent as things are happening at a brisk place, and there is no time to omit a character for 2 episodes every time they have to travel or send a message from one distant castle to another.