Beucephalus is a nightmare, which is a horse with flaming hooves that can fly. Beucephalus is Strahd's mount, and is sometimes known as "Beucephalus the Wonder Horse".
When the group traveled into Barovia's past, Beucephalus was a normal horse. When Strahd rode Beucephalus, chasing the carriage, Murderbot tried to kill it with a dart, but was unsuccessful. Strix shot a fire bolt at the horse, but the dark powers used the magical flame to transform it into a nightmare.