It seems the roads near Rhodes are cursed. While a programming bug instead of eldritch forces is likely responsible, seeing the curse manifest might make you think the devil is involved. Thing is, one particular road seems to have the peculiar tendency to set every horse that goes near it on fire.
On-foot NPCs and wagons aren't exempt either, nor is Arthur or his mount. "Horse fails" and videos thereof have become their own subgenre among the Red Dead Redemption 2 fandom and reports of horses spontaneously combusting have come in since release. However, since then fans have managed to pinpoint a particularly dangerous area.
— Matthew Reynolds (@Crazyreyn) October 30, 2018
Just south of Southfield Flats and north of the town of Rhodes is a junction after the train tracks were the trail splits into three. This is where travel carries with it a significant risk of incineration. Though all forks of the intersection are dangerous, the middle road is where you're most likely - in fact, almost certain - to burst out in flames.
NPCs travel this road with some frequency due to the proximity of Rhodes, meaning you can observe this phenomenon. What's particularly interesting is how varied the reaction of these NPCs is.
Sometimes when the horse catches fire the rider jumps off immediately and runs, thus escaping a firey death. Sometimes they just keep trotting on while aflame. Sometimes unaffected NPCs will see their compatriots burning and panic as a result. Wagons will drive amidst the burning victims, the horses pulling it will catch fire automatically detaching the wagon, and the driver will then jump off and then catch fire himself.
— Nasty Old Wizard 🧙♂️ (@casey_macneil) October 29, 2018
Several players have documented the bug in video and shared it online. This freaky issue can be frightening when first encountered, particuarly if you don't know about it. There you are, trotting along happily and then BOOM - fire. The horse panics and throws you off, then fire engulfs Arthur.
This isn't Red Dead Redemption 2's only horse related bug. Some of the pre-order and special edition horses are also disappearing without a trace.