Below, is the backstory of the Horse Thief you encounter within the first two minutes of Skyrim.

The Horse Thief of Rorikstead

The Horse Thief was brought up as a farmer in Rorikstead where his family inhabited. His name was Lokir. He grew and eventually took over the farm where he had a wife and two baby nords on the way. Lokir was known as a good man throughout the village.

It started to become bitter and frosty through the village. It was not good for his crops and therefore not good for his business. He tried to keep his crops in good condition and unfortunately, could not do so. With a wife and two children to soon take care of, he would need quite a few septims. However, nobody wished to buy his frozen, displeasing foods and he received no money. In a desperate attempt to please his family Lokir trekked to Riften.

He thought it would be easy; he wanted to make a deal with the thieves guild - he would pay them decent coin if they could steal crops he could then sell back in Rorikstead. The thieves guild were people you would not want to bother. When the Riften guards heard Lokir was searching for the thieves guild, they became suspicious and decided to follow him around and spy on what he was up to. They followed the man from Rorikstead down the Ratway and into the Ragged Flagon. The guard found where the guild were hiding out and arrested some members. The thieves were furious with the nord from Rorikstead for leading the guard to them and so they beat him senseless, stole all his septims and any other valuable things he had on him and kicked him out.

Lokir made his way back to Rorikstead without enough money to afford a carriage. He stopped off in an inn in a place called Ivarstead which was located at the bottom of the Throat of the World. While sat in the inn drinking away his sorrows, he came up with a wondrous plan.

He trudged out of the inn and made his way to the stables where he found a black horse sleeping across the hay. Lokir hit it across the head with his palm, waking it. He mounted it and made his way home. It galloped across the snowy fields when he thought, "I can't return home. I cannot face my wife. I must leave." He decided Hammerfell was his best option and headed west to the border where he was met by a troop of Imperials who arrested him and ordered for Lokir to be taken to a place called Helgen.