The Shag Foal is a somewhat malevolent spirit similar to the Black Dog of European folklore. It usually takes the form of a rough coated horse, but, with eyes as big as saucers. Sometimes, it simple looks like a shaggy haired donkey with fiery eyes.
The Shag Foal is known to appear to unknowing travelers. Similar to this is the case of Spittal Hill in Freiston, which is known to be haunted by the Spittal Hill Tut, with tut meaning ghost.
Moreover, it is said the shag foal haunts the old leper hospital and even tries to attack anyone who sees it. This happened in 1934. The haunt and attack was theorized to mean that someone was murdered on the spot where it is lurking or perhaps guarding a treasure.
Even the book entitle Country Folklore by Gutch and Peacock in 1908, indicated some sort of existence of shag foal in the railway in Kirton Lindsey in the year 1842.
A lot of theories and rumors have developed about the said thing, but, some contradicts it by saying that the shag foal everyone knows is simply a shape shifting brag. Others label it as a fairy animal.