They are everywhere in the snow mountains. A group of wolf or smilodons will aggro them and if the rhino is high level, you can tame it but don't forget the bad boys who want to eat it, protect it from the smilodons that served as tank for the tame.
There creatures are almost entirely passive, so long as you don't attack them. If you do aggro one (to kill it for either it's great pelt supplies or it's horn), it is best to get on top of a small cliff or something like that. Running away is almost always futile, as not only do they move faster the longer they charge at you, they do up to 10 times as much damage. If you are to run, don't run straight, unless you'd like to be a rhino's horn decoration.