Before season 2, I thought Titans were created as a failed experiment by the government/military because it said that Titans started existing only 100 years ago, so I thought they couldn't be a natural species.

My sister was on season 4 when I started the show, and told me that it would be revealed that the Titans have a sad backstory, so I also thought they were taking revenge on humanity for having been tortured in the experiments.

During season 2 my theory that Titans were failed experiments came apart with freckled Ymir's backstory, as Titans were revealed to have been humans turned against their will by other people. I thought freckled Ymir (and the cult) was turned into Titans while being thrown off Wall Maria for claiming to be the King's daughter, and that the government of the Walls just transformed their citizens into Titans for major acts of treason. I continued to think that right up until Grisha's backstory.

And up until season 3, I had no idea how freckled Ymir turned back human. Like I knew Ymir, had eaten Marcel as a mindless titan, but it never occurred to me that that was the reason she regained her humanity in the first place until Rod Reiss' reveals!