Interesting write up on his origins!
Link..
The legend of the Headless Horseman begins in Sleepy Hollow, New York. The Horseman was a Hessian of unknown rank; one of many such hired to suppress the American Revolutionary War. During the war, the Horseman was one of 548 Hessians killed in a battle for Chatterton Hill, wherein his head was severed by a cannonball. He was buried in a graveyard outside a church. Thereafter he appears as a ghost, who presents to nightly travelers an actual danger (rather than the largely harmless fright produced by the majority of ghosts), presumably of decapitation.
Link..