[The Might]

Oh, I was not aware of that... bah, and I thought I know stuff... FAIL

No, but actually now Kitanna is making a great argument.

Here is my idea after reading her post - Galadriel, who did indeed know of Gandalf's return or the wizard himself managed to implant this thought into the minds of the Three Hunters hoping for them to realise that Gandalf had returned. The horses leaving was only a coincidence caused by Shadowfax' arrival.

To support the idea, I'll be pasting in some quotes from the essay Ósanwe-kenta by Pengolodh, later found by Tolkien and edited in `98 by Hostetter.

The Incarnates have by the nature of sáma the same faculties; but their perception is dimmed by the hröa, for their fëa is united to their hröa and its normal procedure is through the hröa, which is in itself part of Eä, without thought. The dimming is indeed double; for thought has to pass one mantle of hröa and penetrate another. For this reason in Incarnates transmission of thought requires strengthening to be effective. Strengthening can be by affinity, by urgency, or by authority.
Affinity may be due to kinship; for this may increase the likeness of hröa to hröa, and so of the concerns and modes of thought of the indwelling fëar, kinship is also normally accompanied by love and sympathy. Affinity may come simply from love and friendship, which is likeness or affinity of fëa to fëa.
Urgency is imparted by great need of the "sender" (as in joy, grief or fear); and if these things are in any degree shared by the "receiver" the thought is the clearer received. Authority may also lend force to the thought of one who has a duty towards another, or of any ruler who has a right to issue commands or to seek the truth for the good of others.

Some would be true in the case of Gandalf.
Affinity- he was their friend, so was she
Urgency - well Gandalf wasn't under any adrenalin rush so this isn't that plausible, although it was important for them to know of his return, also not working for Galadriel that well
Authority - he was after all a "leader" for them and they looked up to him for guidance and so was Galadriel in a way

But it cannot perceive more than the existence of another mind (as something other than itself, though of the same order) except by the will of both parties (Note 1). The degree of will, however, need not be the same in both parties. If we call one mind G (for guest or comer) and the other H (for host or receiver), then G must have full intention to inspect H or to inform it. But knowledge may be gained or imparted by G, even when H is not seeking or intending[i] to impart or to learn: the act of G will be effective, if H is simply "open" (láta; látie "openness"). This distinction, he says, is of the greatest importance.
[i] Tolkien replaced "willing" with "intending" in the act of typing.

So perhaps with the Three Hunters being open to new news of Gandalf and considering his/her superior power it makes sense he may have given them this vision.

Also consider the precedents:

though he loved the Elves, he walked among them unseen, or in form as one of them, and they did not know whence came the fair visions or the promptings of wisdom that he put into their hearts. ~ UT, The Istari

and also the vision that Frodo had, also surely at Gandalf's desire.

So yeah, kudos Kitanna, I believe your post was most enlightening!