Once you've captured Calyrex, you can keep it in its full form, or defuse it to have Calyrex and the steed as separate Pokémon. Go into your bag and select the Reigns of Unity. Use it on your Calyrex to separate the two. Note, you'll need to have room in your party to do this.

What happens when you split Calyrex?

Once the two are split up, you can merge Calyrex with either Glastrier or Spectrier again by using the Reins of unity on it while both Pokémon are in your party.

Can you get Calyrex off his horse?

When players battle Calyrex, he will be riding on either horse that the player chooses in a new, more powerful form. When players catch Calyrex, he will still be attached to his steed but they can be separated.