After a bit of research, we found that it was a darkling beetle (also called a mealworm beetle). Just one or two of these beetles is not a problem for the horses, but since the darkling beetles are decomposers of dead plant material hay infested with them has likely "gone bad" and should be thrown away. Since we only found one, we decided to keep our eyes open for more but to keep the hay for now.
The next time we went out to feed we pulled back the tarp from the hay and watched a mouse disappear over the edge of the farthest bale.
More research found that mice eat beetles, specifically mealworms as well as other insects, snails, and fungi. We prevent the mice from living in the hay by stacking our bales loosely, with space between them, and in a crisscross fashion so wind can blow through.
Mice droppings are toxic to horses, so we don't want them living in the hay, but the presence of the mice in the area will help keep the beetle population in check.
Then our resident barn cat and horned owls will keep the mice population in check...and we have just described part of our slice of ranch natural food chain.
Write in and let us know about your slice of ranch food chain!