Banditry, dust storms, feral beasts, and wurms are the general ones worldwide. Depending on how well a caravan is stocked and defended it can be a treat for raiders living out in harsh highlands. The worst of them are Fearmongers — warboy-esque followers of Phobos — who have gotten pretty riled up since the Green Moon appeared. Upside, Fearmongers only do their thing when Phobos is overheard, downside, Phobos is overhead twice and day and the Fearmongers focus just as much on causing pain as they do stealing stock.

As for natural threats, long dust storms can result in a caravan getting lost but the churning up of dust is needed to renew the soil for the caravan beasts to it. And since the whole caravan is run on giant beasties, they look appetising to other gianter beasties. A caravan is fucked if it encounters a wurm, giant serpents that churn through sand and stone and could swallow a caravan without thinking twice about it.