I accidently killed Shadowmere and thought that was the end of that. A few ingame weeks later I see him in the wilderness fighting a bandit, I'm like wtf? I'm not complaining since I thought he was cool and useful and was sad when I killed him but I thought Shadowmere couldn't come back from the dead.

Has anyone else experieced this?

Shadowmere is the leader of all horses. You cannot kill it, timeline from Oblivions events to Skyrims is 200 years, means shadowmere is at least 200 years old. It's a undead horse, it doesn't die.

It respawns eventually.

Shadowmere is an Aspect of Sithis. Therefore, he's very hard to kill, and generally doesn't stay dead for long.

Yea that what I heard that cool Shadowmere the best horse.

Oblivion's Shadowmere is She
Skyrim's Shadowmere is He
six-change operation ?

In actually is an "it". As it's not a "real" horse. More an extension of the void and the dread father.