Undead Nightmare, the four horses

[MrGalactus]

Ok, I just broke Pestilence and I was wondering if when you find the rest, do you have to give up the others? Can you only have 1 horse, or can you keep all four and choose from them.
I just started playing, so please don't spoil.

 

[MrGalactus]

Whoops, sorry this double posted for some reason. Delete this one, mods, but keep the other please.