Also known as Xanthius or Xanthos, meaning reddish-yellow or bay, Xanthus (zan'thus) appears, along with Balius, meaning dapple, as an immortal horse in Homer's Iliad, Euripides' Rhesus, Quintus Smyrnaeus' Fall of Troy, and other Greek literature such as fragments of the Greek Lyric II Alcman.
While the Harpy Podarge was grazing in the form of a horse near the river Ocean, the god of the west wind, Zephyrus, or Zeus, impregnated her, thus parenting Xanthus and Balius.
Another version of the horses' birth explains that they were formerly Titans who had aided Zeus. In the battle they had asked that their shapes be changed so that their brethren wouldn't recognize them, and so they became horses.
Hera gave them to Castor, and later Poseidon gave them as a wedding present to Peleus. They served as his son Achilles' chariot horses in the Trojan War.
After Patroclus lead the Myrmidons into battle and was killed by Hector, the two horses were overcome by grief. Zeus, taking pity on them for having been given to a mortal and so troubled by mortal sorrows, gave them energy to return safely to the Greek lines.
Differing versions describe their interactions with Achilles during his return to avenge Patroclus. In some, Xanthus was given the ability to speak by Hera, and warned Achilles of the inescapable death that the Gods had arranged for him. In others, Achilles rebuked them for letting Patroclus die, to which Xanthus replied that a god had arranged Patroclus' death and that Achilles would soon die in a similar way. In response, the Erinyes, or Furies, struck him dumb.
March, Jennifer. Cassell's Dictionary of Classical Mythology. New York, NY: Sterling, 1998
http://www.occultopedia.com/x/xanthus.htm
http://www.pantheon.org/articles/x/xanthus.html
http://www.theoi.com/Ouranos/Balios.html