Mythos is rife with references to white or grey horses. While pure white horses are generally associated with heroes and deities, grey horses are often linked with death. One of the apocalyptic horseman, the "pale rider", is described in Revelation 6:8:
I looked, and there before me was a pale horse. Its rider was named Death
Though the Lady riding a Cock Horse to Banbury Cross is associated with various real and fictitious women, her statue evokes the image of the "Lady on the Grey".