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Environment
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Put the horse in a round pen, not a square or rectangular one. In a square or rectangular pen, the horse, when scared, will do his best to huddle in a corner. This makes it dangerous for both him and you as the trainer. If you get near him his only line of defense will be to kick. In a round pen, everything is out in the open and there's less of a chance he can attempt to hide or trap himself.
Patience
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Wild horses need time to warm up to their new surroundings and the presence of humans. Start slowly by standing outside of the horse's pen so he can see you at all times. After a couple of weeks, move into the pen. Eventually, he may seek companionship and trust you. When he does this, reward him with food.
Practice
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Once the animal trusts you to pet and feed him, do not immediately attempt to put a saddle on him to ride. Begin by introducing the presence of riding and training equipment first. Bring a halter or bridle in his presence. Allow him to see it and smell it. He's an animal, so he will want to check it out first. After days of doing this, gently lift it to his head to tie it on. If he doesn't resist, this is a good sign. If he does, he needs more time.
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Training for a Wild Horse
Training a wild animal such as a horse takes a lot of time and patience. It's a dangerous activity that could lead to injury to both you and the animal, so this is meant for professionals only.