Here is one Son House version:

THE PONY BLUES
Son House (recorded 1942)

Why don't you catch my pony, now saddle up my black mare.
Ohh, my pony, saddle up, ah my black mare.
You know I'm'a find my baby, well in the world somewhere.

You know he's a travelin' horse, and he's too black bad.
He's a travelin, a pony, I declare, he's too black bad.
You know, he got a gait now, no Shetland ain't never had.

You know, I took him by the reins, and I led him around and round.
I say I take by the reins, and I led him around and round.
You know, he ain't the best in the world, but he's the best stud in this town.

You know, he's a travelin' horse, and he don't deny his name.
He's a travelin' pony, 'n he don't deny his name.
You know, the way he can travel is a low down, ol' dirty shame.

Why don't you come up here, pony, now come on, please let's us go,
I say come up, get up now, please pony, now let's us go.
Let's we saddle on down on the Gulf of Old Mexico.

You know the horse that I'm ridin', he can foxtrot, he can lope and pace.
I say the pony, I'm ridin', he can foxtrot, he can lope and pace.
You know, a horse with that many gaits, you know I'm bound to, win that race.

Uhmm, he's a travelin' horse, and he don't deny his name,
He's a travelin' pony, 'n' he don't deny his name.
You know the way he can travel is a low down, oh dirty shame.

The other version I have is called "Shetland Pony Blues" and was recorded in 1941. It's on another tape and I'll have to find it later.