I was recently out hunting and came across this problem with my tamed branded hell horse. a mob killed my hell horse and I was unable to pick up the horse after many attempts to access his pull down menu and I had to submit a ticket. I had a saddle and horseshoes on the horse. I even tried to tunnel into the mountain tile that I thought he was on and got the message A corpse of old tearpepper on the surface disturbs your operation. So I am certain that the horse was up on the surface and not glitched into the mountain. A GM responded very quickly and was able to give me back my horses body.
