He was in Season 2, we see him at Harrenhal (the giant, ruined castle) where he is in charge of all the Lannister men until Tywin shows up
it was originally Conan Stevens (7' tall) who played Ser Gregor (the Mountain) in Season 1, then they recast to Ian Whyte (7'1" tall), but now we have Hafþór Júlíus Björnsson (only 6'9" tall) in the role, and I can only assume they decided to go this direction (ie a shorter actor for the role of a character that is supposed to be closer to 8 feet tall
... although he weighs nearly as much as the Mountain is supposed to...) because he's an Icelandic 'strongman' and likely is a better choice for any action he may or may not be involved in :sneaky: