Here in Central Texas we can get unpredictable storms that are quite hairy. My biggest concern during those storms is hail. Rain and wind, and even lightning don’t bother me or the horses much, and they have both natural cover and a nice barn to get under if they choose to.
This past summer we had a hail storm catch us by surprise (supposed to be a mild thunderstorm!), and at first the horses took shelter on the west side of the pasture under some trees. But when it starting hailing harder they moved away from it until they came up against the perimeter fence on the south-east side. And there they stood, butts into the wind, until it was over.
They had passed the open gate that let them in the paddock where the barn is, moving from the trees to the fence line, and I wondered if they didn’t turn and head up to it because they would have had to face somewhat into the storm to get there. I think their first instinct was to protect their eyes, and couldn’t reason that with just a few seconds of discomfort they would be completely out of it.
I felt bad for them, seeing them hunched up against that fence - but it was small hail pellets, was over fairly quickly and none of them were hurt. No whelps came up, anyway. Had it been really large, damaging hail, I probably would have donned protective gear and forced them to the barn. Best case would have been to get them in the paddock with the barn before the storm hit, but we don’t always get that luxury.