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Normally the term motion capture refers to putting someone in a black suit with white balls attached to the limbs and body, and using special cameras and software that can recover the 3D location of the balls as the actor performs a motion. I do find it a little hard to believe that they did this with a horse, though.
Exactly what I thought.
I've seen footage from the making of certain film animations / PC games where they explain some of the ways animations are created. In the footage I've seen they depict a man in a tight blue body suit with yellow balls attached to key areas. When the "actor" moves, his movements are recorded into some form of modeling software (looked like a character studio skeleton) and I assume this is used as the basis for the animated mesh.
So yeah, a horse fitted into a snug body suit with balls attached instructed to gallop on a treadmill whilst being video taped seems unlikely to me.
My earlier suggestion of a video played in the background of a modeling app, used as a guide, seems more likely.
However I'm no expert so what do I know?