Rocking-horse toy moves during late hours in search of children. Upon reaching a victim, it elongates its neck to reach the victim's hair, on which it feeds.
This actually seems relatively non-threatening, unless the horse is like… ripping out chunks of hair. Though I'm pretty sure that it's fairly common for domesticated horses to nibble on human clothing (and hair?) affectionately anyway, so…
Instanses use cut hair to repair damage sustained.
And what if there is no damage?
Going into adulthood, victims of the SCP develop a phobia of Equus Caballus and report frequent nightmares involving the animal.
Eh… this feels kind of cheesy. One of the lazier ways to introduce fear in the audience is to have a character be fearful for no real reason, and this just seems tacked on to try and artificially ramp up the spooky part.
I can get behind these maybe being an anomaly borne out of mistreated/broken rocking horse toys that were discarded by their owners, seeking to repair themselves and maybe find a better home. Maybe they're rendered non-anomalous if they find a good home with a child who plays gently with them. Incorporate something more unique and unpredictable, since "random toy that comes to life and hunts children at night" is a fairly common trope, typically with dolls.
