I’m currently the proud owner of Frost the horse. What I want to know is, what will happen to him if I ride another horse?
Obviously nothing will happen as long as I have him in sight, e.g. I’ll be able to ride Frost to make him my horse again.
But what will happen if, before I get back on Frost, I fast travel somewhere? Will he return to where I originally stole him, will he disappear forever, or can I own two horses simultaneously?
If he goes back to where I originally stole him, will I have to steal him again, and therefore never be his true owner again?
The reason I’m asking is because I want to get Shadowmere (the Dark Brotherhood horse) while keeping Frost. Is it possible to do this, or will riding Shadowmere make me lose Frost forever?
Frost only becomes your horse if you persuade Louis Letrush to let you keep him or kill after you talk to him after you have stolen Frost from the Black-Briar Manor. If you just ride off without completing the quest Frost will just return to where you first stole him (Black-Briar Manor).
If you own him and you were to mount another horse (at least another horse you own) he will remain at the location you left him so far as I can tell. I use Shadowmere (who seems to do the same thing) and I just parked Frost at a stable so at least he would be safe. He has stayed there since.
Also any horse you bought from a stable will return to that stable when you begin using another horse. When I first got Shadowmere the horse I purchased from Whiterun began to walk away and when I next went back to the Whiterun stables he was there safe and sound.