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The Skyrim Wiki Forum's user Stabslash says, under What "Arrow to the Knee" Really Means:

When the guards in Skyrim talk, you will often hear them saying the famous saying, "I used to be an adventurer like you, but then I took an arrow to the knee. What this really means is that the guard got married. Yes, married. Let me explain to you.

In Nordic/Scandinavian countries, "taking an arrow to the knee" meant that you are getting married/already got married. It refers to when we propose, we fall to one knee, comparing it to when a man gets shot in the leg, he, of course, falls to one knee.

While this seems plausible, does "Arrow to the knee" truly signify "getting married" in the Nordic/Scandinavian regions?

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    That's actually just a forum post, rather than something on the wikia itself. Not sure if that's any less credible than a site that anyone can edit, but I thought I'd point it out. – Vemonus Nov 3 '16 at 20:03
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    Anyway, props to the guy who wrote that. It got me thinking. That was great symbolism. – Karlyr Nov 3 '16 at 20:50
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    The claim about the meaning of that expression in Scandinavian countries is dubious. I am Danish and never heard that expression. – kasperd Nov 3 '16 at 21:32
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    Lol never heard of that. When this meme was popular I'm quite sure nobody mentioned that either, and it was popular just for its literal meaning. So it's likely just a random made up entry. – xji Nov 8 '16 at 19:48
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No, it actually doesn't. It was apparently just made up by Bethesda employee Emil Pagliarulo, not expecting it to become an enormous meme.

Here's an interview with Todd Howard, Bethesda's Chief Game Developer.

"This was late in the project. We wanted to have the guards to have more personality. They're usually just grunting, telling you what to do. So we had Emil go in and write a lot more stuff and have them reflect you. So the guards say the most about you and what you've done: 'Oh, I like that armor.' 'I hear you're doing this.' And then, there is a suite of, 'Why am I no longer a guard? These guys are adventuring. I'm stuck here with dragons.' That was just one of the lines."

Also, it wouldn't make sense for this to be the case, as this post claims:

I did learn a lot about women in viking society as a whole, and while they were generally held in relatively high regard for homemakers, it was unlikely that they were held so highly that men would see marriage as something “crippling” as the arrow-to-the-knee joke suggests.

Also, since the quote implies that the saying is a current Nordic/Scandinavian saying, look at this thread.

No. It doesn´t. Never did. Regards, norwegian history buff.

I've never heard of it. Source: I'm a Norwegian.

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    One of the earliest mentions I've found in the past is in a GameFAQs joke thread. That was back in the day, though - it's a lot harder to search for the original source as time goes on and people keep blindly copy pasting it. I don't even know why so many believe it. It's like they want to. – VLAZ Nov 3 '16 at 21:16
  • @vlaz I'd take a bet it's origins are somewhere on 4chan, as with most memes. – Kevin Nov 4 '16 at 9:49
  • @Kevin oh yes - either there or Reddit, I'm guessing. At one point, I saw a lint to a Reddit thread which was roughly at the same time as the GameFAQs thread (within about a week of each other, though I can't remember which was first). I doubt even that was the original, although I have lost that link - the GameFAQs one is the only one that I have. – VLAZ Nov 4 '16 at 12:52
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    Also, that being said, you never see guards in-game having wives. They really only seem married to the Guard Barracks. – Kaizerwolf Nov 4 '16 at 14:26
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Couldn't the saying just be a warning that being an adventurer can be quite dangerous and that it's better to do something boring and lackluster than exciting and dangerous.

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Arrow in the Knee is an Idiom meaning marriage. It originates with St. Valentine's bow and arrow. When Valentine's arrow pierces a heart, it instills LOVE. When his arrow pierces the Knee, it means that the Man is now kneeling to propose for marriage.

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    An arrow in the knee has never symbolized marriage... do you at least have a source...? – Vemonus Nov 3 '16 at 22:33
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    @TheGreatDuck it was made up. The interview with Bethesda proves that this was not true, as well as the fact that no Norwegians have ever supported this claim – Vemonus Nov 4 '16 at 2:34
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    @TheGreatDuck, before or after 2011? – Vemonus Nov 4 '16 at 2:50
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    @TheGreatDuck Look here. Not a single instance of "arrow to the knee" prior to Skyrim. – Vemonus Nov 4 '16 at 5:50
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    Wow. First post on this site and it gets downvoted to Oblivion. – Kimberly W Nov 4 '16 at 14:20

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