Frequently (but not always) when a horse is sent through a nether portal, it doesn't show up on the other side.
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I can confirm that this happens, but when I travelled through the portal and back again, the horse eventually showed up again.

I've tried going back and forth multiple times when I lost the horse in my survival world, and also when I was testing this out in creative with various animals. I did not see any of the lost animals coming back. Not sure if there is a trick to it or if it is just random.

Happens to me on 1.2.5 too, sometimes a horse will go through, but others it will just disappear, along with its armour and saddle.
Thank you for your report!
However, this issue has been closed as Cannot Reproduce.
We were unable to reproduce the problem you are describing in the latest version.
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Also seen with Mooshrooms. I found a mushroom island (pretty far away from my base). I was bringing 4 mooshrooms back to my base. From the island to nether, all 4 made it (I entered after all 4 passed through). From nether to my base only 1 made it (I entered after each group of 2, 1 made it from the first group, second group was entirely lost).