Enjoy Yoga! It's an amazing game, my favorite from the Elder Scrolls for sure.
Are you sure the horse belongs to them? Were they riding? I think the horse must belong to the stable at the entrance of Whiterun, and they happened to attack you nearby.
A horse that you haven't bought or obtained in a quest doesn't belong to you. Like everything that you can steal, you have to be out of sight when mounting, or you will get a bounty, and it remains branded as stolen forever. Also stolen horses return to their home whenever you dismount.
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Life starts every day anew. Prospects not so good...
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