Continuity mistake: When Robert Redford gets the girl to drive the pick-up, in one shot something lies in the gun rack. In the next shot there is nothing behind their heads in the truck's cab.
Continuity mistake: When Grace watches the video of her and Pilgrim (the speaker in the video states that it is Pilgrim), the horse has a large blaze and not a star, like in the rest of the movie. (00:19:30)
Continuity mistake: When the horse is roped down on the floor, Robert Redford is shown carefully unlooping and removing the rope he'd put around its fetlock (just above its hoof). A few seconds later, the shot changes and the rope is back in place.
Answer: "There's something I need to know." To this day I'm still not sure what she is referring to.