Are there any horses that can carry items

I am using the following method for capturing souls, which does not require casting any spells. Thus, I can suggest this as another option.

1- Buy a weapon with "soul steal" enchantment. (The hunters in Winterrun sell one)

2- Disenchant to learn the "soul steal" enchantment.

3- Enchant a weapon of your choice with "soul steal" enchantment. (I use a bow for this.)

4- Whenever you kill a creature with this new weapon, you can capture its soul provided you have a gem available. You can then use the gem to recharge your weapons.

There is one - his name is Frost, and he belongs to Maven Black-Briar.

He is the only horse with a pedigree (his father is listed as Sleipnir, so take that as you will). If you hang around Riften, you will be approached by a guy who wants you to steal Frost for him. After doing so, you can decide to keep the horse by yourself (though you need to kill / intimidate the quest giver if you want to do that).

That said, he's a totally average horse otherwise. Barring console command chicanery, he's just the same as all the other non-essential horses.