It struck me that the 3 foals Spirit is playing with at the start of the movie have similar coat colours to the 3 Lakota horses he meets in the tribe settlement. Now I'm not suggesting they are the same horses; it would be rather farfetched to believe that all 3 of them had been captured and tamed, and then met Spirit later on in their lives. Plus, their coats are only similar: not identical. However, foals do often change shade after they shed out their baby coats, and birdcatcher spots (which I like to think the chestnut has) only appear later in life, and can disappear and reappear throughout the horse's life. So, if you really wanted to believe they were the same animals at different stages in their lives, it wouldn't be totally impossible.