Gandalf knows how to make an entrance in The Lord of the Rings movies, from being resurrected as Gandalf the White to saving the day during the battle at Minas Tirith. By his side is his trusty steed, Shadowfax, a blindingly white horse that is famous throughout the land. During The Two Towers, Gandalf properly introduces his horse as "lord of all horses," but doesn't delve further into Shadowfax's origin story. While Peter Jackson doesn't spend much time on this detail, J. R. R. Tolkien made sure to give the horse a full and developed backstory in the novels.
Shadowfax is a descendent from a breed of horses known as the Mearas, wild horses found in the northern region of Middle-earth. They were known to be hyper-intelligent, swift as the wind and strong, enduring beasts that were good for travel and combat. These horses were only ridden by the King of Rohan and his sons, setting them up on a pedestal as a horse worthy of only the most respected riders.
The first of the Mearas were named Felaróf, a white horse that failed to be tamed by Léod, a horse tamer. When he tried to ride the colt, it bucked him, leading to his death. His now orphaned son, Eorl, tracked the horse down and demanded the horse serve him in repayment for his father's untimely death. While Eorl probably wanted to kill the horse, saving it turned out to be a much better idea, as the horse was extremely intelligent and understood the speech of Men.
Felaróf bore Eorl to the aid of Gondor against the Balchoth sometime later, and this success made a name for Felaróf's breed. After the battle, Eorl and his people were asked to watch over the lands known as Calenardhon, which soon changed to Rohan. Eorl and his people also took the name Rohirrim, which means Horse-lords. From that point onward, the descendants of Felaróf could only be ridden by the Kings of Rohan, having earned that honor back in the battle for the land.
Therefore, Shadowfax originally belonged to Théoden, the current king of Rohan during The Lord of the Rings. After Gandalf escaped from Orthanc, King Théoden told him to take any of his horses and leave, as he was suspicious of Gandalf and his activities. Gandalf chose Shadowfax and somehow tamed him, even though he's not a Lord of the Mark, and used his speed to hasten to the Shire in only six days. Upon his arrival, he sent Shadowfax back to his owner.
Sometime later, when Gandalf is resurrected as Gandalf the White, he summons Shadowfax and this is when we first meet him in Jackson's films, during The Two Towers. Even though Shadowfax still belongs to Théoden, he came when Gandalf called, proving that Gandalf truly tamed him. Eventually, Théoden officially gifts Shadowfax to Gandalf, even though he was originally displeased at the horse's disappearance. But since the horse comes when Gandalf calls him, Théoden realizes Gandalf is the steed's natural master. This is why Gandalf became known as the White Rider.
While only briefly mentioned in Peter Jackson's films, Shadowfax has an interesting and detailed backstory that explains what makes him so special. He's known as the lord of horses for a good reason, from bearing Kings of Rohan to becoming Gandalf's steed. His speed and endurance played a big role in Gandalf and his companions' hasty travel during The Lord of the Rings. Not to mention his ability to understand the speech of Men made him the most intelligent choice for the job. From kingly characters to horses, Tolkien made sure every part of his universe was detailed and fleshed out.
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