You can see Slepnir briefly in Thor. *research goggles deployed*

Yes! You see Odin on him when he has to go down to rescue Thor and his group on Jotunheim. When I first saw the movie I was all, "Thumbs up for detail! Wait...are they going to say he's Loki's kid, though?"

I suppose as the only child whom Loki gave actual birth to, Sleipnir's existence is a bit more complicated. But I always loved the legend of how he came to be. It's one of my more favorite Loki tales.