There are three theories about how this popular idiom entered the Bulgarian language. The first dates it back to the 7th Century, the time when the Bulgarian state was founded by the proto-Bulgarian tribes who came to the Danube and first settled in what is today Romania. Khan Asparukh's horse went to the river to drink some water but slipped and fell in. The strong current hurled it downstream and Asparukh himself jumped into the torrent to rescue it. The soldiers gathered round to watch the fun, shouting: “Went his horse into the river.” The Danube is a mighty river and the horse ended up on the south bank. So did Asparukh. The rest, as philosophers would say, is history.
The second version dates from the early Revival Period, the beginning of the 19th Century. A young couple in love, from the region of Pazardzhik, rode in to the fields on a horse and a donkey to enjoy some privacy. The lad and the lass took their clothes off and dived into the blooming rye. The donkey, however, got thirsty and headed for the nearby stream carrying the clothes the girl had stuck under its saddle. “Hey! Ho!” the girl exclaimed: “Went my donkey into the river!”
The phrase was institutionalised by Elin Pelin in his short story Andreshko. In this third version of the idiom, the horse of the cunning peasant goes into some mud, not water. The expression: “Went the horse into the river” is not worded at all, but it is clear that this is what the bailiff travelling in Andreshko's wagon thinks.
“Went the horse into the river” essentially means that something unexpected or unpleasant has occurred, leaving you to “feel down in the dumps”.