Incitatus, favourite horse of Emperor Caligula, allegedly lived in a grand marble house. We are told that Caligula loved him so much that he wanted to make him a consul (lawmaker).
Later writers were keen to demonise Caligula, and he was hardly the most ‘balanced’ of emperors, so it is difficult to know whether he really meant it.
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The belief may stem from the line “my horse could do a better job than you” or from the view that he loved his horse more than he did the Roman mob.