Link would, in fact, like to drive himself back. He's used to riding his own horse, and doesn't see how this is any different. But he's not exactly experienced at this, and and at this point there aren't any free ATVs for him to commandeer anyway.

So he hops in behind to her. He huffs softly - like pretty much almost everyone else, she's taller than he is. Which means he's going to have to try and peer around her to see what's ahead properly.

"...I could tame a horse. If we see one," he says.