From A Wiki of Ice and Fire
Ulthos is a landmass in the far east which may or my not be another continent. It lies to the south of Asshai and the Shadow Lands in Essos and to the east of Sothoryos. It is separated from the Shadow Lands by the Saffron Straits. The island of Ulos is located in the straits between Ulthos and Essos. Almost nothing is known about Ulthos, other than its location and that it is covered in dense jungle.
Behind the Scenes
As George R.R. Martin explained, basically the entire point of Ulthos is to highlight that people from Westeros do not know much about the world east of Qarth and south of the Summer Sea. Asshai itself is half-legendary and only known of through hazy traveler's tales. All that men from Westeros know about Ulthos are secondhand reports from travelers to Asshai which describe it as on the north shore of the Saffron Straits, and opposite from a landmass called Ulthos on the southern side - and these reports did not specify whether Ulthos is an entirely new continent, a large island like Great Moraq, or a subcontinent/extension of Essos or Sothoryos. Therefore the status of Ulthos as a "continent" or not is deliberately ambiguous, to highlight the limited knowledge of even the maesters of the Citadel about the wider world.
In Martin's words:
- "Some of that is, Here there be dragons," Martin cautioned. "It's beyond the world they know." Of the other continents yet to be explored, Martin said he "deliberately" kept Sothoryos mysterious, to echo real-life history: "Even though Africa was known to Europe from the earliest days of ancient Greece,” he said, “we knew relatively little about sub-Saharan Africa."
- He chuckles at the complaints he gets from fans about the lack of boundaries on his maps: "What's this Ulthos thing over here? Is it just a big island? Or is it another continent?"
References and Notes