The first appearances of all three were in "A Good Man Goes to War", but they have appeared in several episodes since then, including "The Crimson Horror" and "Deep Breath". They have also appeared in some "minisodes" that explain their origins.
Vastra and some Silurians were disturbed from their hibernation by some subway excavation projects, and the Doctor had to stop her from killing the humans. Jenny left her parents because she was a lesbian. Strax was forced to be a nurse by the Doctor. As of 2015, their first encounters with the Doctor have not been explained in detail.