Bigfoot - Tall Trees/Tanners Reach (Side Mission) War - By MacFarlane's Ranch (Also Sometimes Found By Rio Bravo) Pestilence - In Tall Trees Famine - Between Punta Orgullo & Casa Madrugada Death - Finish The Story (Or Get Death Randomly Anywhere On The Map After Getting The First 3 Horses Of The Apocalypse) Chupacabra - Near Escalera (Must Be On Hunting Challenge Rank 4) Unicorn - Right Next To Torquemada (Must Have Killed Chupacabra)
Would be great if you could actually collect and keep all of the special horses spread throughout the land. There really should be a stable on John's ranch where you can store them and select each one you want to ride.
Just do all the Horses of the Apocalypse challenges then you can call ANY of the 4 horses anytime you want by pressing START & then pressing X on War, Famine, Pestilence Or Death's blood pack (they basically look like deeds to the horses on your screen)
The only horse you lose & have to get every time is the unicorn, which is always found in the same spot (In the middle of the 3 horses you see on the in-game map, near torquemada)
On the map, north-west of Torqemeda you have an image of 3 horses, just run around that area, you'll find Chupacabra [get Blue Circle] and once you kill it, Unicorn spawns nearby, but will have no indication.
Also, if you just keep doing story missions, you will run into each horse at some point or another.
War: On way to McFarlane's Ranch. Pestillence: When hunting Sasquatch. Famine: On way to Mexico. For me it spawned right next to bridge to Mexico. Death: I got it somewhere in Mexico but didn't tame then. Death can spawn anywhere.