First you must complete the Dark Brotherhood quests up until you receive Shadowmare as a reward. Shadowmare is special in that he cannot be killed (only knocked unconscious). Knock Shadowmare unconscious (you don't need to be quick about it, he won't fight back). As soon as he drops, you are given the option to access his body via the spacebar. Open him up and
dump your extra junk into him (open him then go to your inventory button and single click items to move them over). Shadowmare will pop back up after a few seconds, and you'll both be good to go.

Whenever you need to access your gear, simply knock him out again. I've used this trick for a while, and it appears that Shadowmare has no weight limit, and items remain forever. This trick won't work on normal horses because they die (and ~ resurrect clears their inventory).

Sometimes after Shadowmare wakes up, he begins to slowly walk away, to stop this, jump on him and quick transport to a location; this fixes him. Also, be careful not to get onto a regular horse, this messes up your tie to Shadowmare, and is a good way to accidentally lose him (not sure where he defaults to).