I had a few pelts, including a legendary bear pelt on the back of my horse. On the way back to the camp I was ambushed by some bandits, and unfortunately they did manage to defeat me.
I'm not sure yet how exactly the death mechanics work in this game, but I respawned with some money lost. But also all my pelts were gone from my horse. I noticed at that point that my last manual save game was quite a bit ago, so I wasn't willing to reload to fix this.
Is this an intended part of the penalty for dying? Or is there a way to get those pelts back that I had stored on my hose?