You catch wild horses out in the Wilds and Explore when you get to town, you catch horses with food, say like apples with something on them like molasses (could have spelled molasses wrong), you can get by finding random things on the ground. But if you have food then go to Account and press Craft, there you can find the Cook option to cook the food for the wild horses.

The cooked food is also seen in your inventry, cooked food and normal food are great for horses whether wild or not, I personally don't capture horses so I can't help you there much further (mostly because I fail at capturing horses)