Scout is Tonto's horse. He is a pinto, or paint-horse.
History
Scout's history is not very clear-cut. He has seen various origins depending on the medium.
Radio
For a long time, Tonto rode a white horse called White Feller. In "Four Day Ride" (August 5, 1938), Tonto is given a paint horse by his friend Chief Thundercloud, who then takes White Feller. Tonto rides this horse and refers to him simply as "Paint Horse" for several episodes. The horse is finally named Scout in "Border Dope Smuggling" (September 2, 1938).
In another episode, the question of Tonto's horse was resolved when the pair discover a secluded valley and the Lone Ranger, in a surge of conscience, releases Silver back to the wild. The episode ends with Silver returning to the Ranger, bringing along a companion who becomes Tonto's horse, Scout.
Serials
When the serials were made, Tonto was riding White Feller on the radio. Scout had not been created yet. For the serials, the producers did not want two white horses to be on screen. In order to differentiate Tonto's horse from Silver, they gave him a paint horse. Oddly, while he looked like the horse that would become Scout, he was still called White Feller.
Television
On the television series (and other adaptations) Tonto has simply had Scout from some time before he finds the Lone Ranger in Bryant's Gap.