According to legend, Tony Anthony's "Get Mean"--in which Anthony's recurring character, the Stranger, gets caught in a conflict between the Moors (!) and the Vikings (!!)--originally justified its premise by having the Stranger be transported back in time by a witch's spell.  So the story goes, the distributor cut out this explanation, on the assumption audiences would tolerate blatant anachronism better than outright fantasy in a Western.

Then, there is the Disney movie "Tall Tale," in which Pecos Bill, John Henry, and Paul Bunyan (normal sized, but with a blue ox) come to a town's aid.  I think this all turns out to be the young hero's dream, so you can debate whether it is a true fantasy.