It turns out the reason Henry Prime was found by Castle Lake without any memory of what had happened when he disappeared, and how he had no frostbite despite being lost without shelter in a harsh New England winter, was because he traveled to Alternate Henry's world. While only a few days went by for the people living in Henry Prime's world, the young Deaver boy was trapped in an alternate timeline of years, held as a prisoner by Matthew Deaver, who was not the boy's adoptive father in this reality.
Alternate Henry's timeline seemed to be far happier comparatively. He was working on a cure for Dementia that could help his mother Ruth overcome the affliction. Despite suffering from the disease, Ruth left Matthew and ran away to Florida with Alan Pangborn, allowing these two star-crossed lovers to actually live their lives together. The only horror that is fully established is Matthew Deaver's madness, which led him to cage a young boy and eventually kill himself, an act that lead Alternate Henry back to his childhood home of Castle Rock and discover Henry Prime locked in his father's basement.
How this craziness ties into The Dark Tower is in the way the show portrays what can happen when characters slip into timelines or realities where they are not supposed to exist. Alternate Henry's existence in the Prime Universe causes destruction, pain and horror wherever he is present, illustrating that when realities are tampered with, there are repercussions. Much like how the paradox was created by Roland when he saved Jake, the displaced Alternate Henry upset the fabric of Castle Rock and is kept in a stagnant nightmare from which he could never wake.
The doorway through which the Henrys have traveled is "the voice of God" Odin Branch had been searching for in the woods. Now, to be fair, they are not literal doorways like they are in The Drawing of the Three, but they act in a similar manner. While stepping through them does not put you into the head of someone different, it does put you into a stasis of sorts, transporting you to a reality you don't belong in. All of this is stunning with regards to how it ties into the previous episodes of this season. Castle Rock has essentially taken one of King's biggest themes and completely turned it on its ear. Now, with the season finale on the way, we have no idea how they hell they're going to wrap this up in an hour.