Monsters and Water both = Death!

If your horse is taken to, or left near monsters they will kill it and probably you so chose wisely on where you leave that noble steed.

Also water will instantly drown your horse or if your using a wagon, it will kill the wagon.

If any of that happens go to any near by stable, go to the horse pictures that are greyed out on the side, unless the horse is there, and find your horses picture, it will say what city it is in on the picture. Go to that stables and recover the horse, every death on a horse is more expensive to recover than the last, and will negatively affect the chance of them breeding good foals later. Its the same basic concept as the horse for a wagon, but no deaths just recovering the wagons health.