On Night 2 of his visit to Brooklyn, Jimmy Kimmel heard David Letterman’s side of the Crazy Horse Named Dave Story, with which Conan O’Brien regaled Stephen Colbert last Friday on Late Show.

“For the purpose of this conversation I have nothing but the highest regard for all of the talk show men and women – even Jimmy Fallon. I’ll include him,” Letterman said on Jimmy Kimmel Live, setting the ground rules.

When Letterman left left Late Show a couple years back, he sent his neckties to Kimmel, one of which the ABC late-night host was wearing tonight, in honor of Dave being his guest.

But Conan being “some sort of god on Mount Olympus” who “runs around telling people he went to Harvard – we don’t know,” Letterman decided to send something different to the TBS late-night host, to thank him for the lovely piece Conan wrote about his  retirement.

“You know what I’ll do – send him a horse, and he’ll have the horse on the show, and it will take a dump on the show, and it will be hilarious,” Letterman recalled thinking, as he made his gift choice.

Two days later, however, he realized things had gone terribly wrong.

“I get this warm, lovely letter back from Conan. He says ‘My wife loves the horse and she’s going to keep the horse because she’s an equestrian.’ I’m Presbyterian. Are you Jewish?” Dave asked Kimmel.

“Now I’m screwed, because I was counting on him returning the horse and I get my money back,” Letterman complained.

Fast forward a couple years, “I don’t hear anything about it, until he shows up on Late Show and now he’s  lost his mind…Conan will not shut up about the horse. And, the horse had gone crazy. Something happened. Maybe it’s from being around Conan all day – I don’t know,” Letterman speculated.

Among the things Conan told Colbert is that the horse, said to be named Dave, is too high-strung to be ridden.

“Of course he’s unrideable! All he had to do was take a dump on the stage!” Letterman fumed to Kimmel.

“So, now he’s complaining. There may be litigation, and maybe I’ll get a call from PETA,” he added.

“If I had sent you the horse, there would be none of this ‘My wife loves it, were keeping the horse’,”  Letterman assured Kimmel. “[Conan’s]  got a half-acre in Studio City. Where’s he going to keep the horse? The point is, no good deed goes unpunished,” he complained.