This episode is by far the most frustrating episode of this series. This episode is all about mistakes made that one cannot take back.
In the beginning of the episode, Cora falls sick. We later find out that she is pregnant. Lord Grantham is ecstatic to have another child/possible heir on the way. Everyone is happy, except the completely confused Mary, who has just been proposed to by Matthew. Yes my friends, the moment finally happened. This episode is about her struggle with what to say to him, and then when they hear the news about the baby on the way she doesn't know what to do. If the baby is a boy and she has said yes to Matthew then they'll be married and won't have a penny, however if it is a girl and Mary said yes, Matthew is still the first heir to the estate. Matthew tries to patiently wait for her answer but gets a little fed up because it's seeming like she's stringing him along. Well, long story short, they finally talk and because of Mary's cousin's advice about waiting to see if the baby is a boy, Matthew withdraws his proposal.
Later on Cora is taking a bath and O'Brien is helping her. Early O'Brien heard Cora and Violet talking about new maids and she assumed that Cora was looking for someone to replace her with. O'Brien is angry and in a moment of weakness decides to get even. Cora accidentally dropped the soap and it fell on the floor next to the tub and broke and she asked O'Brien to grab it for her and she told her that the other piece was under the tub when it was really right next to the side of the tub. She goes into the other room and gets distracted and then regrets what she did so she turned to tell her and then she hears Cora fall in the other room. The saddest moment of the season, she loses the baby (it was a boy) and O'Brien feels terrible. Through the rest of the episode and into the next season O'Brien tries to make up for the one mistake she made.
At the end of the season there is a party at Downton and everyone is there. Mary goes up to try and talk to Matthew to tell him she wants to be with him, but Lord Grantham gets a telegram informing him that they have just gone to war. And that is the end of the episode.
The major theme i see in this episode is that people make mistakes and then try to go back to how things were. Chances are lost and when we don't take good opportunities they won't always be there.