Resist the chase and contain the area first
Every instinct says run after him, and every instinct is wrong: a horse being pursued keeps moving, and a horse being rushed at head-on wheels away from the pressure. Slow down, breathe, and take in the situation before you take a step. If there are other people about, send one to close the yard gate and any gate onto the road, because containing the area matters more in the first minute than catching the horse himself. If he is anywhere near traffic, someone in a visible position warning drivers buys you the time to work quietly.
Gather the right kit before you approach
Collect a halter and a lead rope — the rope alone does the first job — plus a bucket with a small handful of feed in the bottom, rattled once so he learns it is there. Gloves are worth having if he is strong or frightened. If no halter can be found, a belt, a spare stirrup leather or a second rope can make a temporary neck loop. What you must not do is walk out empty-handed hoping to grab a mane or a rug strap: a failed grab teaches him you are something to dodge, and every failed attempt makes the next one harder.
Make yourself the calmest thing in his world
Approach on a curve toward his shoulder, never straight at his face and never directly behind him, and keep your body angled slightly away so you look like someone wandering past rather than someone hunting him. Let him see the bucket, let him take a mouthful, and scratch his withers before you touch the rope. Slip the lead rope over his neck, low and unhurried, and hold both ends: now you have a horse on a neck rope who can be steadied, fed another mouthful, and haltered without a contest. Never wrap the rope around your hand, and never tie yourself to a frightened horse.
Halter up and lead away like nothing happened
With the neck rope holding him, bring the halter up from below, noseband first, and fasten it with the same unhurried rhythm as a normal morning. Lead from his left side with the rope slack, walking at his shoulder, and if he surges or plants, turn him in a small circle rather than hauling against his head. Walk him somewhere secure — a stable or a small pen — before you do anything else, and offer water once he has settled rather than letting him gulp while he is still blowing.
Afterwards: check him, then find the hole in the fence
Once he is safely in, run your hands over his legs, check his shoes are all present and tight, and look for cuts, swelling or heat that suggest the escape involved a fence, a ditch or a gallop over bad ground. Think about what he may have eaten while he was out: an hour on lush grass or, worse, a raid on a feed store changes what you watch for over the next day. If he is showing any discomfort, is off his feed, or you know he gorged on rich grass or concentrates, call your vet and describe what he got into rather than waiting for signs to develop. Then walk the boundary and find how he got out, because a horse who has done it once has learned the trick. And if a loose horse gets beyond your ground altogether, the KinsLe Lost Pet Alert System sends his description to nearby members while you search, so sightings come to you instead of rumours.