The idea in Gamebryo is that the world is separated in cells, but they load as you approach them. When I had an old pc with small amount of RAM, I had loading screens on open world, with better RAM, open world never had any loading screens again.
On Morrowind there were no horses without a mod, but something even better, infamous potions called "Scroll of Icarian Flight". which basically fortified your acrobatics by 1000 points for seven seconds. Running forward and jumping with that effect would let you travel at amazing speed across the entire island. However no loading screens, but the game often paused when it obviously needed to load new cells.