First, the original Native Dancer and the dapple grey US cavalry horse from the #5311 Spirit play set. Native Dancer is found in both old and new plastic with a variety of leg markings. The points are always black to dark charcoal and the body is solid.
As a 2005 release, #5311 never even came within sniffing distance of old plastic. The grey coat is heavily shaded and bubble dappled. The near-side shoulder sports a black US brand (there might be variations which avoided the branding iron). The points are a much softer grey, more nearly self coloured, and the legs should be without markings.
Which bay is it? If your bay model's coat is red-toned, if it lacks socks, and if it's made with old plastic, lucky you, you have the 1989 Sears special run in your possession. If the model is a darker walnut bay with near-side socks (your markings may vary) and is made with the new plastic, you have the 1995 JCPenney special run.