Since the Witch-King was the first of the nazgul to enter the river, I think it is quite unlikely that his original horse survived. Anyway, if it did it would have had to find its own way back to mordor since the WK was damaged (I can't think of the right word) in the flood.
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His sword was long his lance was keen
His shining helm afar was seen
The countless stars of heavens field
Were mirrored in his silver shield
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