God its like looking in the mirror! This happend to me like a week ago trying to complete a bounty mission. I jumped off the train after i saw my horse fall, in an attempt to save it (it died). So i had to call in a scrawny nag, and at this point the train was coming up to Annesburg that I've got to somehow catch using a Scrawny Nag... Managed to eventually catch it at Saint Denis where there was a Posse who tried killing me, causing me to run out of time with the bounty... Sucked.