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He explains that he was killed by White Walkers but saved by the Children of the Forest, who pushed a piece of dragonglass into his heart.

Benjen saves Bran and Meera from wights using a flaming mace. got_6x06

If you'd like to dive deeper, I can look into the surrounding Bran's visions or provide a comparison between Benjen's return in the show versus the books. He explains that he was killed by White