Yeah the difficulty can be a little high when you're just starting out, the difficulty slide bar is a great edition to help out new players and at the opposite end really test seasoned players.
I remember when I first started the game I got on a horse just standing in the middle of a road, I thought it was wild or something. Then I rode it up the road a little bit and ran into the guard that the horse belonged to and he proceeded to kick my ass

The only truly wild "horse" is the unicorn, its pretty fast but too temperamental. I rode it for a while then it ran off chasing a deer, I randomly found it dead by the side of a road hours later. I took its horn and easily finished a daedric shrine quest that it was associated with much later on.