Formed in 2018, Bonny Light Horseman brought together three musicians who were already successful in their own right: Eric D. Johnson from the band The Fruit Bats, acclaimed musician and producer Josh Kaufman and Anais Mitchell, who’s released eight albums and won a Tony Award for her Broadway musical “Hadestown.” And it worked: their debut album scored two Grammy nominations. From their latest album “Rolling Golden Holy,” Bonny Light Horseman performs “Cold Rain and Snow.”