The Silk Road is a trade route in Essos. The eastern end merges with the Stone Road from Vaes Dothrak at the ruins of Yinishar, and from that point on the Stone Road begins its ascent through the Bone Mountains to Samyriana.
Behind the Scenes
The World of Ice & Fire mentions that the Silk Road merges with the Stone Road at its eastern end in the ruins of Yinishar. However, the maps of "The Known World" and "The Dothraki Sea" in The Lands of Ice and Fire show two major roads leading out of Yinishar, one running west on the northern side of the Skahazadan and one running west on the southern side of the river, but do not identify which one is the Silk Road. The southern road passes through Adakhakileki and Kosrak and Hesh in Lhazar, while the northern road passes through the ruined Ghiscari cities of Vaes Mejhah and Krazaaj Has. Both roads ultimately end in Meereen.