When I get in a new colt to work with, I often take them on my morning walks with the dog. Down the road we go, the dog running crazy and me leading a colt, and I'm sure the neighbors think I'm nuts.
But, when on the ground, the colt gets to see new things that we'll experience on a later ride (trash cans, dog bursting out of the ditch, cars, farm machinery, etc). It also gets to experience being away from the other horses. (I usually have done some ground work with them, so I feel like I have good control and that we'll both be safe.)
If they're especially herd bound or nervous, we may go back and forth past the driveway several times. We increase the distance each time and rest at the far points. They may need a little flexing, hip yielding, etc, along the way to get their mind back on me, but usually this goes pretty well. It gives me a chance to get the horse out and both of us learn -them about being away, and I see how their mind will work in new situations.