When you are leveling your troops they seem to take the most expensive and top tier horses they can get thier hands on. For example, I have 12 Desert Horse in my inventory so that I can level my Khuzait Nomads into horse archers, I also have a Battanian Thouroughbred and another couple of high quality tournament-prize horses that I and my companions can't quite ride yet. When I go to level my nomads instead of them taking the Deserty Horse, they took my Battanian Thouroughbred and all the other prize horses leaving me with those extra Desert Horses that I got specifically for them to level and taking my horses that I had earned and was looking forward to mounting soon.
