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In the prologue of A Game of Thrones, we are introduced to different types of horses:

Will went in front, his shaggy little garron picking the way carefully through the undergrowth. A light snow had fallen the night before, and there were stones and roots and hidden sinks lying just under its crust, waiting for the careless and the unwary. Ser Waymar Royce came next, his great black destrier snorting impatiently. The warhorse was the wrong mount for ranging, but try and tell that to the lordling. Gared brought up the rear. The old man-at-arms muttered to himself as he rode.

Later on in the books while describing Stannis' march, it is mentioned that the shaggy garrons are good for the colder climate. The war horses are too big and don't handle the cold well. Yet in S8, the Dothraki horses seem to be handling the cold very well.

Are the Dothraki horses closer to a warhorse or a garron or something else? Is there a reason that they can handle the cold in the North so well?

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I think you've misunderstood the quote, it's not that the garron copes better in the cold than the war horses it's that the garrons are better for ranging than war horses. War horses are obviously better for war whereas garrons are better at ranging as they are sure footed and steady going.

A great jumble of fallen rock blocked their way partway up, where a section of the cliff face had fallen, but the surefooted little garrons were able to pick their way through.

A Clash of Kings, Jon VIII

The southerners looked a sorry lot, Asha thought—gaunt and hollow-cheeked, some pale and sick, others with red and wind-scoured faces. By contrast the northmen seemed hale and healthy, big ruddy men with beards as thick as bushes, clad in fur and iron. They might be cold and hungry too, but the marching had gone easier for them, with their garrons and their bear-paws.

A Dance with Dragons, The Sacrifice

The quotes above are about using the right tool for the job and for ranging a garron is better than a war horse. On the same vein war horses are clearly better for well, war, and the Dothraki horses are more of a war horse than a ranging horse. The Dothraki horses are built for speed, endurance and aggression which matches their own personalities well and as such are good in a battle but probably not so good ranging up beyond the Wall in the cold.

Add to this that the Dothraki horses know nothing of the cold as they come from the Dothraki Sea in Essos as a warm climate and they probably wouldn't fare well in the cold. That doesn't mean they would be weakened by it, just that you'd need to keep them warmer than a Northern horse and charging headlong into battle probably does enough to warm the horses up.

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    I think it's two parts: the type of duty they perform, and the type of climate they are in. Regardless of breed, horses from the Dothraki sea probably have little to no experience with winter, and might just freeze to death. – JAD Apr 30 at 10:44
  • @JAD Well in the context of the show they appear not to – TheLethalCarrot Apr 30 at 10:44
  • "charging headlong into battle" would kill a "warm" horse in a "cold" (real)world ^^ maybe the Dothraki women could handmade them a scarf? – Allerleirauh Apr 30 at 10:50
  • The Dothraki Sea is pretty damn big though, it will have different climates depending on where you are. The north of it might have the same climate as the Vale in Westeros for all we know. – Amarth May 1 at 21:12
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Aside of GoT:

A high breed sort of horse often is a specialist. A mostly wild horse can often manage "wild" environment.

Connect with GoT:

The lords want to impress with their beautiful and expensive equipment. They choose horses at color for impression, education for handling, power for battle or beautiful accessories for the ladies, and so on. And the breeder serve the market...

This horses will be handled with care: best food, cuddly stables, plain underground, own staff. As a consequence of that this horses could have cropped fur (for example to not sweat much) or have no change of fur in winters season. (Examples in our world are competition horses.)

The Dothraki do not have their horses in stables. Foals who do not manage the wind, rain and weather in general under free sky will not stay alive or will not used to breed the next generation. Maybe the Dothraki do not breed any? If their horses are free like their owners, then the nature forms the next generation.

At last there are the horses of farmers and likewise people. They can be settled in a wide range between Dothraki horses and horses of the lords.

They should be powerful workers with little as possible food advantage. They should be easy to handle. They must not be the cleverest foal of the stable, but keep calm and do not harm people or animals. Maybe the family have a stable, maybe not. So the aims of breeding are closer to the wild horses than the aims of a war horse breeder.

Because of that, it looks logical to me, that the Dothraki horses handling the cold better than the war horses of GoT upper class.

Another point is simple physics: objects with little surface loose less warmth. So how more the horse looks like a little ball, the more it will keep its warmth...

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