Coalblack was Prince Rilian's horse during his stay in Underland.
There is no mention of where Coalblack originally came from or how he came to be in possession of the Lady of the Green Kirtle.
During the Prince's time in the North, he would occasionally ride Coalblack with the Lady of the Green Kirtle on her horse, Snowflake, in Overland around Ettinsmoor and Harfang, always clad in black armour, which is where he got the title "The Black Knight".
It is most likely that both Coalblack and Snowflake remained with Rilian in Narnia for the rest of their lives.
Coalblack was a pure black stallion.