While heading to a fort we were supposed to take over for the Imperials as part of the Civil War quest my companions and I (myself, Lydia, Uthgerd The Unbroken, Marcurio) were walking near a giant's camp. It seemed a little odd that there were no giants or mammoths anywhere near the camp but I didn't think much of it, maybe they were out walking?
Well about five minutes walking distance (in game time) from the giant's camp, a woman comes running past us yelling "mercy, I yield I yield" and crouched behind my companions and I. She was wearing what appeared to be bandit's armor, but before I had time to process anything, Skjor comes running up as does a mammoth who was attacking him.
It gets slightly weirder.
My companions and I help defeat the mammoth...who falls directly on Uthgerd The Unbroken. She could not be spoken to, she was not speaking on her own, so I assumed the worst. However as I walked away from the mammoth, Uthgerd The Unbroken just casually walks THROUGH the mammoth, completely unscathed.
And that my friends is how I learned that A: The Companions will quest on their own, and B: if a mammoth falls on you, don't panic, you're probably okay