Little is known about the protagonist and namesake of Ico. What follows are some notes regarding what we do know about him.
What it is that sets Ico apart from other children isn't known exactly. What is known is that it was passed down through the generations and left its mark in the form of the horns on his head. This was seen by the people of his village as the sign of a curse to which they ascribed various unfortunate events which befell them. Whether this was superstition or a real curse isn't known, but following tradition Ico was brought to the Fortress on his twelfth birthday in order to rid them of the curse.
Why he is referred to as 'Ico' is unknown. The only person in the story who actually refers to him by name is Yorda. When trying to get Ico's attention in order to point something out she calls him by this name - but since they don't speak the same lanaguage they never introduced themselves. Since this is also the name he is given in the backstory it is not just a random way to refer to him that Yorda uses.
During his time in the Fortress Ico shows the ability to continue regardless of the difficulty or odds. No obstacle, whether it is a small army of Spirits or the Queen herself blocking his way, is ever enough to stop him. He does not only fight for himself, when he finds Yorda he helps her without hesitation. It is only after he initially helps her that it is revealed that she can also help him, he helps her simply because he sees it as the right thing to do.
Ico's defining feature up until his time in the Fortress is the mark he bears. It is the mark of a curse to the people in his village, and was also the reason the Queen wanted him sacrificed. His fate, as far as anyone knew, was sealed from the day he was born due to this mark.
The girl Ico finds imprisoned in the tower at the rear of the Fortress is a mysterious person, even by the end of the story. According to the Queen, Yorda is her daughter. The Queen has no reason to lie about this, and herself and Yorda are the only two people in the Fortress, so there is no reason to doubt the truth of this statement.
The main difficulty in analysing Yorda's behaviour is that her reactions to and interaction with the world around her are very subdued, and the reason for this is never made explicitly clear. Her reactions vary too much from what we would expect of a person in her position to be explained away by personality alone. In order to understand what her behavior and actions tell us about what sort of person she is and how she thinks, we must understand how and to what degree they are influenced by other elements, such as her history and environment.
There are environmental factors which contribute to Yorda's passive behaviour. Due to her physical weakness she is quite dependant on Ico. Ico has to help her to move around the Fortress, make simpler paths through areas for her, and keep her safe from the Spirits. Having been imprisoned for a significant amont of time she also lacks experience of the outside world, which is also responsible for this high reliance on Ico. This requirement to rely on someone else for so many aspects of their journey doesn't leave much room for independant action.
An important aspect of her passivity is her apparent apathy towards escaping. While she is happy enough to go along with Ico, and ocassionly excited by things relevant to their escape, most of the time she does not appear as motivated as Ico to work towards freedom.
An aspect which must be considered is Ico and Yorda's differing perspectives on the Fortress. When Ico arrives he escapes quite quickly and immediately sets off, ignorant of the trials he will face before escaping, unaware that the Queen even exists.
Taking these factors into account Yorda's behaviour when she first encounters Ico is more understandable. Even if she is able to grasp the idea that she is finally free after all this time, she is likely aware that she is not really free, not yet anyway. That she has to be led to escape by Ico, rather than trying herself, is not all there is to her character of course. This element of her character stands out however, and affects her behaviour to a degree that her character cannot be analysed without explaining this element. Having examined the circumstances and environment she is and found that there is a fixed explanation for this behaviour, it can be 'filtered out' so that we can examine her character independent of these circumstances.
While there are many times when one would expect Yorda to act with a desire to escape, times at which the behaviour discussed above affects her actions, there are also times when escape isn't the first thing on her mind, such as when they are trying to figure out what to do next or avoid the Spirits. Even during these times the same passivity remains however.
One alternative explanation for her passive behaviour is that she is actually disinterested in freedom and escape for some reason, and it has little to do with her personality. her actions tell us otherwise, which is part of what I will address in the next section.
Thoughts on Escape
Yorda's behaviour raises the question of how she feels about following Ico and the prospect of escape. She is quite willing to follow Ico when he rescues her from the tower, but this does not necessarily mean anything in itself. I have established that she is naturally passive, and the one thing she does react to strongly is the Spirits. So when the first thing Ico does is to save her from a Spirit, it makes sense that she would follow willingly when he leads her out of the tower, regardless of how she may feel about Ico or escaping the Fortress.
One thing that is certain is that whether or not she believe's the Queen's story that it is for her own good, she does not wish to remain captive. In her own subtle way she moves towards freedom, in actions as simple as running away from the Spirits but choosing to follow and rely on Ico, or running ahead of Ico when they arrive in an area particularly important to their escape.
Given that a significant amount of her life has been spent in the cage, she undoubted appreciates being out of it at all. Even if she does not believe they can escape the Fortress, just having been freed from the cage and protected from the Spirits for a time is a gift and a further reason for her to choose to follow Ico. When she and Ico are finally stopped on the bridge her last words to Ico are 'Thank you'. That her last thought is thanks to Ico for what he has done, despite the fact that they did not escape, shows that she appreciated what freedom she did have and would have been happy to stay with Ico even if she thought true escape was impossible.
From these actions of hers we see that she did want to be free, and did choose to continue regardless of whether she believed escape was possible or not. This means that her passivity is not because she does not want to escape, but is simply the way she is.
At the end of the story Yorda is brought back to life as a Spirit by the Casket Chamber. She looks at herself, and her quick acceptance suggests that she realises what has happened to her. After a moment she goes up to the throne room and finds Ico unconcious. She is much stronger in this form and so is well able to carry Ico down to the dock and send him off in a boat.
Yorda's last action is to save Ico from the collapsing Fortress. However she does not go with him, even though there doesn't seem to be anything physically stopping her from doing so. Why exactly this is remains a mystery. A likely explanation is that she chose to stay behind because there is no place for her or because she has, in a manner of speaking, already died. However the Queen did say that she could not survive in the outside world. Since Yorda is somewhat magical in nature there may have been some truth in this, it is after all true that when Yorda does 'leave' the Fortress she once again changes form. There may have been a real reason why she couldn't have left, or at least believed she couldn't.