I was headed back to Whiterun after learning the first dragon word, when I met the companions. After I killed the dragon and wrapped shit up with the Jarl, I paid for a ride to Winterhold to check the college out.
On the second quest, I beat the class down to Saarthal so I had to wait around. As I was waiting, the same exact group of companions just strolled on by. Like all the way down that pit and out the other side.
I guess I could've accepted they had trekked over a couple mountains from Whiterun, but right after that, a group of guards wandered down, got all defensive and posted up on the steps. I just chilled, amused at how pissed they were at nothing, before they attacked me. No bounties or anything - I don't think I had even robbed anyone yet.
It was a weird start to the game.