So I started playing the game today, and noticed when I hit the go home button, my Blacksmith heads to the castle, same with the Knight - but neither of them are married to anyone in the castle so I have instances of my King walking and finding these two sleeping in his bed.

While it's hilarious, it is kind of annoying and I'm trying to think of how to fix it.

Have you accidentally added them to active family?
I remember a while back someone's Monarch and spouse thought they lived in the forest, I don't recall if a solution was found to it though.
You could try marrying one of them off to another hero, and see what the 'where will they live?' options say they stay. If they're still listed under the correct building you may be able to reset them this way.

Not that I am aware of, but I can check the next time I load up.

Kind of old thread but I have this problem now too. I dunno if it's a side effect of locking doors but my female advisor that I've been woohoo'ing now thinks my bed is hers . Even asks me if I wan't to sleep in her bed when it's the only bed in the castle! I did lock the doors once for privacy when she was in the room so she couldn't leave till next morning when I got up. Not sure if that's when it started.

Sims, like in sims 3, learn where their bed is, and since the Royal Advisor lives in the castle anyway, it's possible she thinks this is her bed. LOL at her inviting you to sleep in your own bed =D My King asks his wife if she wants to stay the night, which I always find funny, but I think this comes off a mod.
You could try waking her up and kicking her out whenever she gets in it.
I added one of the servants as active and she tried sleeping in one of the kids' beds, which caused them to mix up where they were sleeping. I had to wake her and work the 3 kids back round into their own beds, and now she doesn't do it anymore. I think it helped that there were others around to tag the beds though.
You could always try moving another female into your bed that doesn't live in the castle and then stop that when the Royal Advisor gets the message. Or set the privacy option to just you. Or lock the door whenever you're going to sleep.
Or buy another bed for her, make her active and make her sleep in there and then delete the bed later when she's lost claim over yours.
Also, I don't know if when you sell your bed and buy a new one if it clears the owner tags off it, you could try that first though, it's less hassle than the other possible fixes for it.