Concise answer
The writers of books on what happened on Ashura (these books are referred to as ‘maqatil’) have not mentioned much about what happened to Dhuljanah. What is mentioned is that he made his mane bloody with the blood of the Imam and returned to the tents neighing very highly. When the household of the Imam heard Dhuljanah they came out of the tents and found out that the Imam had been martyred.[1] But some of the later maghatel like Nasekhul-Tawarikh have extended saying that Dhuljanah banged his head to the ground so much that he died, or that Dhuljanah threw himself in the Furat (the river in Karbala that Imam Husein was denied water from).[2]
[1] The ziyarah of Nahiyah Muqaddasah; Amaliyy of Sheikh Saduq, pg. 163.
[2] Mirza Muhammad Taqi Sepehri, Nasekhul-Tawarikh, vol. 6, pg. 2.
source : islamquest.net
