Today my horse fell under the ground while guarding, and it initially seemed impossible to get it out. I removed my bracelet, I relogged, I tried waiting for several minutes for it re-appear, but none of that fixed the issue.
A few meters ahead some crocodiles kept trying to attack me when in range. I noticed while fighting one that I was able to see the health bar of my horse somewhere nearby at the ground, but the horse itself was nowhere to be seen. I knew it was my horse because of the rapid movements it makes in panic when enemies are near. This is how I realised it had somehow stuck underground.
I was unable to find any solution in the forums and most comments basically suggested quitting. However, because I was still able to see my horse’s HP, I grabbed some health potions and decided to pull a beast near the area where my Horse was supposed to be guarding and allow it to chase me around in that area. I was able to see my horse’s HP as it run in different directions trying to ‘‘escape the beast’’ all the time while under the ground. I persisted for a few minutes, and in the meantime I destroyed all nearby foundations and walls to make it easier for the horse to get out. And won’t you believe it, it actually came out of the ground! I know this is not an outright solution but it’s a tip for those who really want their Thrall/Horse back as well as the items they had stored in it.
To sum it up: Grab some health potions and bring an enemy near the exact spot where your Thrall/Horse is. Allow the enemy to chase you around that spot. Punching the enemy once or twice will reveal the HP bar of both the enemy and your Thrall/Horse as separate health bars. Follow the HP bar of your Thrall/Horse with the enemy chasing you. Keep it up until you manage to get your Thrall/Horse to emerge from the ground/terrain.