The Northerners and Wildlings, though, descend directly from the First Men and still follow their traditions. Through intermarriage, the First Men and Andals slowly mingled Southern Westerosi are usually of mixed descent, with nobility often having more Andal blood than commoners.
These people, the Andals, succeeded in conquering the entire continent except for the North, and established their religion, the Faith of the Seven, as the dominant one in the South. Long after the First Men established kingdoms on Westeros and converted to the Children's forest religion, a second wave of invasion came from Essos. They co-existed for several millennia, and even built the Wall together to keep the White Walkers in the far North. The Children destroyed the land bridge and waged millennia of war against the First Men before a peace was negotiated. Westeros used to be populated by the wood nymph-like Children of the Forest, until the First Men invaded the continent from Essos via a land bridge. The 'Song of Ice and Fire' books and several bonus features on the DVD give more backstory to these concepts.
The terms 'First Men' and 'Andals' were frequently mentioned on the show, and often only indirectly explained.