Sleipnir was “mothered” by Loki. Asgard had a wall that wasn’t completed, and the Gods all thought that having it built would be a good idea. However, none of Them wanted to take this burden on and do the project Themself. It went on long this until a traveler cantered over on horseback and Heimdall stopped him. The traveler explained that he had a plan and, before counsel of all the Gods, he said he would finish Asgard’s wall. The price he asked for was the hand of fair Freyja in marriage, the sun and the moon. The Gods were outraged and wanted to tell the traveler to go right back where he came from. But Loki had other ideas.
He took it upon Himself to convince the rest of the Gods to put stipulations on this bargain (like that the builder had only 6 months to complete the project) so that They could get at least some of Their wall built for free. Despite hesitations, the Gods agreed to this. The traveler agreed only after the Gods gave him permission to use his horse, Svaldifari, to help him.
So the traveler set to work building Asgard’s war. He worked much faster, and accomplished far more of the wall, than the Gods expected him to be able to. In fact, as it came upon the traveler’s deadline, it looked more and more like the traveler would be able to complete his task. The Gods once again gathered in meeting in Gladsheim to determine what to do about the predicament They found Themselves in. They were all in a state of panic, and beautiful Freyja was upset enough to impair Her ability to speak. In the end of everything, the Gods came to the conclusion that it was Loki that got Them into this mess, therefore it should be Loki Who gets Them out of it.
The Schemer went and observed the traveler as he worked. ‘Without Svildifari’, He thought, ‘the traveler won’t be able to finish his task.’ So Loki wandered off into the bushes and used His shapeshifting powers to transform Himself into a mare. Loki-mare kept Svaldifari busy and away from his task all night, forcing the traveler to work only with what he had left from the day’s haul. This pissed him off, and his anger and rage caused him to erupt out of his disguise, revealing him to be a giant. When the Gods saw him They revoked Their oaths, and the traveler would gain nothing for the work he had done. Freyja, the sun and the moon would all stay right where they were. The traveler was paid a wage, though: one blow from Mjollnir to shatter his skull.
After all the chaos, Loki disappeared from Asgard for several months. When He came back He had a grey, 8 legged horse with Him. Loki called Him Sleipnir. When Odin saw Sleipnir, He admired the horse greatly. Loki told Odin to take Him, that He had bore Sleipnir, and Sleipnir would bear Odin.