Pertinax:

Cannae (216 BC):

According to Livy, Paullus was severely wounded in the head by a slinger right at the start of the battle (in contradiction with Polybius, who claims that Paullus was wounded only later). Eventually, he became unable to control his horse, and then his entire bodyguard dismounted to share the destiny with their commander. But the wound didn't obstruct Paullus from taking control of the army after Varro so shamelessly fled before the field was completely lost, as he essayed (in vain) to save the day. Hannibal later honored him by having his body buried with ceremonial rituals.

One fled with the cavalry, the other definately had mounted bodyguards, so I will assume that both consuls commanded from horseback and had somekind of mounted bodyguards (presumably veterans in the form of heavy horse).