A kelpie is a being from Celtic folklore. They can have several forms, a horse, a human, a horse with a fish tail, but a horse is usually the common form. No matter the form however, the kelpie is always connected to some body of water. The kelpie is also known to drown people in said body of water once they get up on their back.
This site has some basic information
A movie with a kelpie (though it doesn’t say that it is a kelpie at any point in the film) is Into the West. A story about two boys who find this horse which ends up bringing them back to their roots.