So, I've noticed with the new versions of Minecraft. Horses, Donkeys and Mules cannot go uphill on their own, or while on a lead. They will wander on level layers, and will eventually go "downhill" when they run out of ground. But they will not ascend to higher ground like all other animals do. Its like they lost the ability to "jump/climb" as wild or wandering creatures.
If you throw a lead on them, they still cannot ascend to higher ground.

The only way to get them to climb and follow you up a hill is to mount them with a saddle and ride them up the hill. Kinda tedious when you are trying to haul a few of them at a time to a new location. The only option is to ride them one at a time to the new place.

Cows, sheep, pigs, chickens and all other mobs are not affected with this same issue. Only seems to be associated to Horses, Donkeys and Mules.