How can you take a horse home without a saddle?

Solution 1:

You can attach a rope leash to it and guide it home that way. A leash is made with string and slime, as follows:

Recipe of Lead

If you need to take a break, you can tether the horse to a fence. This allows you to wander off and do whatever you need to do. Provided you remember where he/she is, you can return and get the horse back later.

More information can be found on the wiki.