The second episode of Season 6 revealed that Hodor wasn't always the simple-minded vehicle for Bran (Isaac Hempstead-Wright) to get from Point A to Point B. Back in the day, he was Wylis, just your average stable boy at Winterfell with an apparent crush on Ned's (Sean Bean) sister Lyanna Stark.
So how did Wylis become Hodor? By being a horse, of course!
Two Redditors, TazoGreenTea and gbinasia, posed the theory that Hodor had been a warg growing up. And since he was a stable boy with a possible crush on Lyanna, it would make sense that Hodor would choose to warg into her horse as a means to be close to her.
Jojen Reed (Thomas Brodie-Sangster) previously warned Bran about the dangers of warging too long, as it could result in him becoming permanently trapped in the animal or even forgetting that he's human. But "gbinasia" has a different theory on how warging turned Wylis into Hodor:
My guess is that the horse was slain during battle while Hodor was warging into it, which would explain why he is very much a simpleton now and is afraid of fighting and lightning. Would also explain why Bran is able to warg into a human, because the mind inside the human is an animal's mind (or the remnant of a mind trapped into a horse). Edit: not necessarily the actual horse's mind, but Hodor's mind mixed with a horse's instint [sic], like Bran feels what Summer feels in his 'dreams'. And, even more obvious, it would explain how Hodor has been such a fantastic person to carry Bran because it's litterally [sic] what horses do.
This whole theory actually makes a lot of sense. It's completely bonkers, yes, but Hodor's origin story clearly serves some purpose in the larger Game of Thrones mythos or else the showrunners wouldn't have bothered to include it. And if Hodor were a horse, that means he could have crucial knowledge about what happened to Lyanna and serve as a major warning to Bran about warging. Win-win, right?
So is Hodor a secret horse? Maybe! It would be far cooler than being a secret Targaryen, if you ask me.