So, there's this horse chilling outside of Dayspring Canyon (it's there literally every time I go to and from Dawnguard). No saddle, looks feral, etc. But when I go to ride the beast it says I'm "stealing" it. This begs the question... who does it belong to? I've never seen a vendor's cart, a corpse, a sign of struggle, anything.

Perhaps a glitch of some kind? I mean, earlier in my play I saw a Riften guard sitting on an invisible chair near the docks. Anything's possible I suppose...

Might be the horse of a hunter that ran off chasing something, like they do, and the hunter was killed somewhere.

There is a random encounter spot just outside Dayspring Canyon (near the bridge), so it isn't strange for strange things to happen there.

Fair enough. That's the only thing that happens on my game though. There's never anything else in that area. Just a horse in the same spot (even when I steal it and take it to, say, Markarth).

I'll show myself out...

Horses that you steal have a tendency to walk back to their original spot for some reason.

It will probably go away if you stay away from the area for a long enough period.

^{or if a mace would happen to crush its skull...}

That would just be cruel.

Not if You are Roleplaying a hungry Orsimer

In My Game the Horse belonged to an Orc that discovered the Rift is crawling with Bear that dislike being bothered.