In the Wikipedia Wild Hunt article, an Indian related myth is mentioned1:
M.M. Banks cautioned against viewing the Wild Hunt as a peculiarly European phenomenon, identifying a similar tale of cavalry being heard on the wind that was located in the early twentieth-century in the Ghats, India.
The cited source is Banks, M.M. (1944). "The Wild Hunt?". Folklore (London: The Folklore Society), which I don't have access to.
Is there an Indian Wild Hunt myth?
1 The article has since been updated, and the "Related Myths" section was removed.