Melisandre knew how important Daenerys, Jon, and Arya were to defeating the Night King — and showed up to support them.
“I see a darkness in you,” Melisandre tells Arya. “And in that darkness, eyes staring back at me: brown eyes, blue eyes, green eyes. Eyes you’ll shut forever. We will meet again.”

This encounter has long been interpreted to serve as foreshadowing of Arya’s future turn as an adept assassin. But in the context of the Battle of Winterfell, the “blue eyes” that Melisandre mentioned now seemingly refer to those of the White Walkers and the Night King himself. Melisandre and Arya revisit that season three moment when they meet during the Battle of Winterfell, and Melisandre gives Arya a pep talk, reminding her of the “blue eyes” detail. The episode also sees Beric Dondarrion, who is a devout follower of the Lord of Light, sacrifice himself so that Arya might live.

Melisandre Arya Scene: what do we say to the god of death? not today.
Season 8: episode 3 / The Long Night