Spoilers follow for "The Door," the fifth episode of Game of Thrones' sixth season.
In "The Door," we learned that the White Walkers were created by the Children of the Forest, as a weapon in a war against humanity.
The Children of the Forest are a nature-worshiping magical race who lived on Westeros before humanity's arrival. After the humans came, they went to war with the Children of the Forest over territory. The creation of the White Walkers, powerful monsters specifically designed to kill humans, was the Children's response.
So that means the White Walkers are a quasi-natural backlash to humanity's growth and expansion. Today, they have spun out of anyone's control and threaten the very foundations of human civilization. Yet humanity is ignoring the White Walker threat in favor of internal squabbling.
It sounds a lot, in short, like the problem of climate change (other than the part about the White Walkers being "designed"). This parallel has become increasingly clear over the course of the show — as this video shows:
The White Walkers are a threat to all humanity: Their zombie minions are equally happy to rip apart people of all nations and noble houses. Yet instead of uniting to combat the shared threat to human existence itself, the noble houses in the show spend basically all their time on their own petty disagreements and struggles for power. White Walkers are generally ignored; some nobles deny their existence outright.
Swap climate change for White Walkers and "countries" for noble houses, and it starts to sound a lot like the real world.
Specifically, it sounds like the problem of international coordination on climate change. No one country can prevent catastrophic warming on its own; every country that's a major greenhouse gas emitter is part of the problem.
Yet the biggest emitters, like the United States and China, are also geopolitical competitors. Both are wary of the other's intentions, making it hard for them to see any kind of deal that limits their emissions as win-win. And even if you get over the US-China hurdle, you have to get a deal that's acceptable to most every other country in the world — including developing ones that need cheap energy to fuel economic growth. The world has made progress on these fronts, most notably in a US-China bilateral deal and December's Paris accord, but there's still a lot of work to be done.
The big wars in Game of Thrones — the Targaryen-Stark-Lannister-Baratheon-Tyrell-Bolton free-for-all, especially — are a stand-in for these complications. All these noble houses are focused on their short-term interests, but pursuing them is blocking the real problem: stopping White Walkers and their zombie army. Likewise, carbon dioxide emissions skyrocketed in the past 100 years — with potentially catastrophic consequences for the human race.