If you come across bandits who have killed someone and their horse you can butcher the horse to take the saddle, bridle, horseshoes, and caparison and sell them at a saddler. Or equip them. They count as stolen but no one has called me out on them being stolen so I think maybe they don't count the same as something stolen from a guard. I found a few Dragon saddles that way early in kutenberg on my second run and now Henry is kitted out in the best armor before I've even found the devil's pack.