I was riding somewhere with my recently purchased horse when i saw two mammoths. They glitched out, one flew up into the air and died prompting the other one to attack me (but i've already spoken about this in an earlier thread). After slaying the mammoth... and a nearby cave bear attracted by the commotion, I looked around for my horse wondering why he hadn't helped me in the battle. I see my horse laying dead just in front of a sabercat. i came to the conclusion that during my fights, they must have run into each other and somehow managed to kill each other at exactly the same time. The humour of imagining this incident overwhelmed my anger of just wasting 1000 gold on a horse i'd only ridden for 3 minutes, so i carried on my journey (i usually stole horses, but i'd had a fight with this dude who looked after them and somehow become friends with him, so i felt bad stealing one).
I arrived at solitude, did the necessary quest and from then on spent time fast travelling between cities. It wasn't until i needed to get to an area i had yet to explore that i decided to steal another horse and continue on my journey. I fast travelled to the stables closest to my destination and lo and behold, next to me is my... white... spotted horse? Wait, i thought you were slain... and weren't you... brown? Least the horse next to the sabercat was brown.
I was confused, but happy to see a horse that I didn't have to steal and we adventured a little more. I've come to the conclusion that the brown horse with the sabercat wasn't actually my horse, just some other mysteriously dead horse that i found whilst my horse trotted off to who knows where and the reason my horse never returned because i only fast travelled to places that my horse couldn't enter.
Oddly enough though, i've also seen a dead brown horse surrounded by dead bandits in my travels. This itself is a bit of a mystery. Are there wild brown horses traversing the plains of skyrim, battling violent npc's/creatures as they go?