I have been owning both for quite some time. I do remember that outside the Brotherhood Sanctuary they used to appear together. Then I obviously kept using Shadowmere and I didn't track what happened to Frost. Now I am not sure if Shadowmere is dead. It shouldn't. As fas as I remember I always checked that it was alive and I am quite sure the last time I saw it wasn't before a big fight. The fact is that after jumping from a city to another I went into the open space and I couldn't find it anymore. I assume it is yet another bug.

Any chance to get Shadowmere back? All other horses are just useless. They die after a small jump (I mean, quite small). I knew since Oblivion that it was supposed to be immortal, and so it should respawn. The problem is where. I checked both sanctuaries and it wasn't there. Unless I had to wait few extra days.

I also lost the horses. I took a big dive and the horse just dissapered. went back to the pond and still not there.

i lost frost also, left him outside a cave, when i exited he was gone

If Shadowmere has died, you cannot get him back. Once he is dead, he's dead for good.

Have you looked around the area where you last saw Shadowmere? Maybe he didn't fast travel with you

Edit - Just read the wiki, try waiting in a main city for 10 days and go back to where you last saw shadowmere (Elder scrolls wiki). Or wait 15-20 days then go to the place of death. Maybe he'll respawn then? (USEPWiki)

hey thanks for that i lost shadowmere too i hope hes not dead

EDIT: went back to the place i last saw shadowmere and found him alive and well thank you so much i had feared that he had died and id never get him back

Thanks YunikoYokai5. My problem is that I have no clue where i left it last. So it may be alive in the middle of nowhere. Unless it gets teleported chances are i lost it for good.