When riding a horse and attempting to cross a river, I jumped and fell short of land. It of course dismounted my character off the horse. When I looked around to leash my horse onto land, the horse had vanished.

I immediately saved and quit the level and loaded back in, and the horse reappeared. I was able to unfortunately recreate the bug a few times and had to quit and reload the game for the horse to reappear. Thankfully I named my horse or it would have been gone for good.