This is all Odin's fault. To distract the craftsman's work-horse, Loki turned himself into a mare, a very pretty female horse, and got Svadilfari, the work-horse, to chase him. Unfortunately, Loki got caught or something because he later gives birth to Sleipnir, an 8-legged horse. Odin, being the asshole that he is, rides Sleipnir around as his favorite steed.