We do not know the original source of this stories, but variants are boutiful.

An officer in the New York Mounted Police always paused his horse to rest in the same place every day. One fellah got in the habit of having a donut for the horse when he stopped. One day he offered the horse a donut, and the horse bit him. “Hey!” yelled the guy. “He never did that before!” “Oh, sorry,” said the policeman. “I forgot to tell you that this is not my regular horse, and this one only likes poppy-seed bagels. You see, this is a horse of a different cruller.”