The Northern Tyrant [Game of Thrones] - Wylis X Elia Martell - Early Sneak Peek Sketch/Lineart

Honestly, I get confused about what "Smallclothes" actually means. I looked it up, and this is what I found. It's made of simple cloth

I reckon it's the same in Westeros. Though they just wear that loose sleeping gown at night, not underwear.