Lydia could be at your home in whiterun, I found her there once. Shadowmere could be at the original place you got her. Ive never lost her since the damn thing follows me everywhere and makes it quite difficult to remain silent and deadly outside of forsworn forts when shadowmere goes flying in there guns blazing. I kinda wish I could lose her lol
That's no lie... I always gotta fast travel a camp or two away since she'll spawn in with me. I mean jeeze, big first
Spoiler Alduin battle I had to park her under a rocky overhang...
... She and Odaahving took out all sorts of things. Only time she died though was when she stood in front of my arrows. I mean really, so hard to be firing arrows when your horse keeps pushing npcs around.