[The Squatter of Amon Rûdh]

From the descriptions in The Riders of Rohan and The White Rider I'd say that the horses went looking for Shadowfax. They were not cut free, but "dragged their pickets", and Legolas says that "But for the darkness and our own fear I would have guessed that they were beasts wild with some sudden gladness. They spoke as horses will when they meet a friend that they have long missed."

Also I would draw attention to Éomer's words concerning Saruman when speaking with Aragorn, Legolas and Gimli: "He walks here and there, they say, as an old man hooded and cloaked, very like to Gandalf, as many now recall."

I think that Tolkien is deliberately ambiguous about this point. He is putting the reader into the same frame of mind as the Three Walkers: that of not knowing what is happening so that they are distrustful of hooded and cloaked old men. However, there would be no need for Gandalf to spy on their camp, nor to lie about it afterwards. That he was in the area is hinted at by the horses' behaviour, but I'm sure that the old man was Saruman, spying out the fate of his raiding party and its captives.