Where does my horse go after I'm arrested in Dragonsreach?
Solution 1:
If the horse was involved in a fight, it might be dead now.
Just fast travel to any point outside a city, stables for example; if your horse is alive you'll see him...
Solution 2:
What Tom said, if you fast-travel your horse (and any companion) will fast-travel with you and appear near you. The one exception is if you fast travel into a city, then your horse goes to the stables outside the city.
Great way to pull that errant horse or housecarl who has decided to get trapped in geometry, can't stop fighting wolves, or gets pathed halfway around the world.