“That on the further side, he nam’d Nicœa, in Memory of his Victory over the Indians; This he nam’d Bucephalus, to perpetuate the Memory of his Horse Bucephalus, which died there, not because of any Wound he had received, but meerly of old Age, and excess of Heat; for when this happen’d, he was nigh thirty Years Old: He had also endur’d much Fatigue, and undergone many Dangers with his Matter, and would never suffer any, except Alexander himself, to mount him. He was strong, and beautiful in Body, and of a generous Spirit. The Mark by which he was said to have been particularly distinguished, was a Head like an Ox, from whence he receiv’d his Name of Bucephalus: Or rather, acording to others, because he being Black, had a white Mark upon his Forehead, not unlike those which Oxen often bear.” Arrian’s History of Alexander’s Expedition, Volume 2
In 326 B.C. Bucephalus carried his master into battle. When Alexander told him to go forward, the horse refused. Instead he turned and raced back with Alexander riding him to the back flank. There he kneeled, allowed Alexander to dismount, and fell over dead. It was later found that Bucephalus was suffering from severe battle wounds. However, he made sure his master was safe before dying.

Image from here.

Image from here.

Image from Wikipedia.