What an interesting question, my little scuttler!
Growing up in an international city like Mournhold, I often saw foreign animals. Horses, senche, boars, badgers, foxes, and many others, were all available for a reasonable charge at the market.
As you say, however, it was very different to see how plentiful they were in the wild. I had visited Black Marsh first and found the wildlife to be fairly similar to that in Deshaan. However, when I went to Skyrim for the first time I was shocked by the herds of deer, the prides of roaming sabre cats, the packs of wolves, and the frequency in which one encountered bears. I had never seen anything like it. The furriest native wildlife we have back home are the bees. They have beautiful, thick gold and black hair all over. The occasional fuzzy spider can also be found, but hair is something that we have very little of on our animals. It made sense, of course, considering how frigid Skyrim is nearly half the year. All the more surprising it was for me then, when I went to Cyrodill and discovered their animals are mostly furred too!
I still find that hairy animals look like regular animals who are wearing fluffy coats. Or like they are trying to dress up like people. It is a childish notion, I understand, but I am so often struck by the thought. They all looks so big and fat! I suppose horses and deer are an exception, since their fur grows short. Yet all the other animals just look a little funny to me.