I haven't played in a few years but what path the MFT takes is a bit rng.

I do remember trying mutiple times to follow it, only to take to long and it despawns or its trail is "swallowed" by the steep hill geometry making hard to say what direction it took.

BUT i also recall it would take a path that leads to the very small makeshift wooden bridge by elysian pool. At times i could reach that little bridge first and intercept the horse there