[Based on material gleaned from the Winchester City Council's website]
During the Iron Age, prior to the Roman invasion, the Winchester area developed as a complex of farmsteads and villages, with a defended trading centre being established in the area about a century before Julius Caesar first came over from Gaul.
It was not until after Emperor Claudius' invasion, in 43CE, that the Romans reached this area. Around 75CE, however, they selected Winchester as the site for the civitas or enforced capital city for the local tribe, the Belgae. It was walled in stone in the 3rd Century, but by around 410CE the Roman army and administration were departing Britain, as they retreated to the Continent.
During the Dark Ages little is known -- the city presumably declined and deteriorated, but it is possible that it remained a focal centre for its local community. Certainly it was later to be called in aid as one of the centres for King Arthur (which may explain why a large Round Table was created for Henry III).
In the 7th century a bishop of Wessex was appointed, with his seat at Winchester and this probably marks the time from which a royal palace was erected and why, in the 9th century, the town's defences were rebuilt, to safeguard it from Danish raiders. It was sacked in 860CE, but eleven years later King Alfred made it his capital, and the new Minster was founded, in which, in 1035CE, Canute was buried.
The city surrendered to king William in 1066, and he began the construction of the castle, and in 1079CE of a Norman cathedral. In 1100 William Rufus was buried in the cathedral, under the tower. 7 years later, it collapsed.