The final scene of Game of Thrones Season 8, Episode 5 "The Bells" was a shocking vision of King's Landing, utterly destroyed. Daenerys Targaryen had essentially firebombed the city from one end to the other, turning it to rubble, charcoal, and ash. A shellshocked Arya wandered the streets, surrounded by nothing but death. She had seen death's face many times before, but this was beyond anything for her. Then, as she looked up, a white horse stood before her. Where did Arya's white horse come from? There's a couple of theories that tie back to the books.
The most obvious is that it was a horse that belonged to the Golden Company. Harry Strickland, for example, was astride a white horse, just before Drogon took out the entire front gate and his army. In reality, that's almost certainly where the horse came from if one is thinking logistically.
But white horses aren't just any horse. There's a whole mythos that has risen up around them, from Shadowfax (the horse ridden by Gandalf the White) to the of-quoted passage from The Book of Revelations which speaks of "a pale horse, whose rider is Death." The latter certainly would apply to Arya, as she rides out of King's Landing, one of the sole survivors of the massacre.
But there are other references as well, both in the books and in the show. For book readers, the sight of the "Pale Mare" might have brought back memories of Tyrion's time in Essos, where the disease by that name ripped through the camps parked outside of Meereen. The arrival of the illness is part of what destabilizes Daenerys rule over the city and ultimately leads to her exit on Drogon's back. The show cut that part in favor of focusing on Tyrion and Jorah's arrival into Meereen, but the connection cannot be denied.
But for those who were watching carefully last night, the arrival of the white horse tied back to Arya's race through the city. During the scene prior, as she tried to save those on the streets of King's Landing, she came upon and mother and child. The mother had saved Arya earlier. Now it was Arya trying to lead them to safety.
The mother fell. Arya, seeing Drogon coming up behind them, tried to pull the little girl away, knowing it was too late to save the woman. But the girl refused, dragging herself out of Arya's grip and running straight into the wave of fire to die with her mother.
Look at what the child holds in her hand at the 1:10 mark:
A white horse.
The discovery of a burned child's toy was the evidence Davos found to learn what happened to Shireen and broke his heart. Now the sight of a burned child's toy (the horse) break's Arya's heart all over again. The white horse, come to life, is a symbol of that child and her mother, Daenerys victims, come to help her out of the city, to ride and avenge them.