HBO

As we saw in the episode, Lyanna is very kind to Hodor and is also an accomplished rider. It's possible that Hodor could have warged into Lyanna's horse in order to spend more time with her and, as gbinasia theorizes, might have been in control of the horse when it was later slain, potentially causing him brain damage. Or he could have simply spent too much time warging and ended up taking on horselike characteristics.