Factual error: The race ends at Damascus, which is nowhere near the ocean, yet is placed on the seacoast.
Continuity mistake: In the final leg of the race, after Frank has taken the saddle off of Hidalgo, there are many shots of Frank riding Hidalgo. In one of the slightly wider shots that shows Frank, Hidalgo's back, and Hidalgo's neck, you can see the back of an English saddle under Frank's butt, even though he's supposed to be riding bareback.
Continuity mistake: Near the end of the race, Hidalgo collapses and there is blood in his nose. Then, when Hidalgo has gotten up and is running full out towards the finish line, there is no blood there at all. In the next shot, there is a pinkish trickle of blood that goes about to Hidalgo's chin.
Factual error: The sand dune scenery prominent in most of the movie is nothing like the real scenery along the route of the race - there are no significant sand dunes.
Deliberate mistake: In the scene where Frank and Jazira are trying to escape from the evil sheik, as they ride towards the gate to leave the town, the gate is closed and bolted, locking them in. The bolt is located on the outside of the gate, facing the desert, instead of inside the gate to protect the town.
Continuity mistake: When Frank and Jazira are escaping the town where the evil Sheik lives and they are heading for the gate, right before the gate closes, they are very close to the gate, but then after the gate closes and we see them again, they are much farther away than they were before.
Factual error: Being an endurance rider myself, I know that horses, especially while racing for long distances and in the desert to boot, cannot survive with one water stop a day. Also, in real life, the horses would be very sweaty and very dirty. Because their guts require constant food horses with that little food would develop ulcers and be unable to continue.
Revealing mistake: After the swarm of locusts passes, Frank takes one and eats half of it. He then offers the other half to Hidalgo, but the horse knocks it out of his fingers and proceeds to eat something else hidden in his hand - presumably the real treat used to entice him.
Continuity mistake: After leaving the blonde woman's tent, Frank approaches Jazira who is standing with Hidalgo. As Frank approaches, Jazira's veil is high enough to obscure the lower portion of her eyes. When the shot changes to a close-up of her face, the veil is so low that the tip of her nose is exposed. Over the next few shots, this condition goes back and forth repeatedly. (01:28:40)
Continuity mistake: In the scene where Frank is fighting the men who were taunting Hidalgo he loses his hat after punching one of the men with the dark clothing. The next shot where a man is holding his arms back he has his hat back on, then loses it again. (00:20:50)
Continuity mistake: If you pay close attention, you'll see that the pattern on Hidalgo's coat changes slightly several times throughout the movie, depending on what kind of shot it is. There was more than one horse portraying Hidalgo, one appeared to be an appaloosa/paint cross and one a paint. Still a mistake though.
Continuity mistake: In the scene where Frank is about to shave, he brushes cream over his lower right cheek and entire chin. When the shot switches back to him, he is reaching for a towel to wipe the cream off, but already there is much less, including none at all on the left half of his chin.
Continuity mistake: In the scene where the evil Sheik kills the cattle boy when he is cutting a deal with the woman the body falls right in front of her but when the Sheik rides away the body is gone.
Continuity mistake: In the scene where Hidalgo falls down, they are traveling on rocky sand, with no one else for miles. But in the shot after Frank sees the mirage, the Prince is up next to him without making a sound.
Factual error: The actress who plays Annie Oakley is much too old. She looks (and is) in her 40's. In 1890 Annie Oakley would have been just 29, and in pictures from the time she looks like she's in her late teens. They could have done a better job with this.
Other mistake: The Mustangs in the pen at the end are "wild" Mustangs taken from the Indians. When they are released from the pen, the camera shows them running. The sun shined on some of their hooves and they are shod (wearing horse shoes). Indians don't shoe their horses. They would not have shoes if they were truly wild or if taken from the Indians and there were too many in the pen to assume that the soldiers would have shooed them.
Answer: They take the camel roads, which are easier (and faster) to navigate.
Xofer