^^ Is that Robb and Catelyn? I can't tell. If so, it's not too tragic, because they do see each other again. They die in the same room together, in fact...
It is Robb and Catelyn. The line is at the end of the conversation where he orders her south to treat with Renly. Cat is distraught because she wants Robb to trade Jaime Lannister for Sansa and Arya, which of course he can't do. Robb tries to comfort Cat by saying when the war is over, they'll get the girls back and the family will be together again.
So, yeah, knowing what happens to them later on, that's a pretty sad line.