The Wizard by Gene Wolfe

Sir Able returns to Mythgathr on his steed Cloud, a great mare the color of her name. Able is filled with new knowledge of the ways of the seven-fold world and possessed of great magical secrets. His knighthood now beyond question, Able works to fulfill his vows to his king, his lover, his friends, his gods, and even his enemies. Able must set his world right, restoring the proper order among the denizens of all the seven worlds.
The Wizard is a charming, riveting, emotionally charged tale of wonders, written with all the beauty one would expect from a writer whom Damon Knight called "a national treasure."