According to Living Documents in American History from Earliest Colonial Times to the Civil War, edited by John A Scott, (Trident Press 1963), this beautiful song was collected by Alan Lomax, who learned it from his mother, who took it from North Carolina to Texas after the Civil War.
This simple, lovely version is by Odetta Holmes,(December 31, 1930 December 2, 2008). All the Pretty Little Horses - by Odetta http://www.youtube.com/watch?v=C7QXidR_Aks