Phantom Steed enters the battlefield, triggering it and Dual Nature's first abilities.
Resolve the Phantom Steed trigger, exiling any other creature you control until Phantom Steed leaves the battlefield.
Dual Nature's second ability triggers, exiling all tokens with the same name as the exiled creature.
Resolve the Dual Nature trigger from step 2, creating a token copy of Phantom Steed.
The Phantom Steed token enters the battlefield, exiling the nontoken Phantom Steed.
The nontoken Phantom Steed leaves the battlefield, triggering itself and Dual Nature's second ability.
Resolve the Phantom Steed trigger, returning all cards exiled with it to the battlefield.
The creature(s) enter the battlefield, triggering Dual Nature's first ability that many times, creating that many creature token(s) of those creature(s).
Resolve the Dual Nature trigger from step 7, exiling the Phantom Steed token.
The Phantom Steed token leaves the battlefield, causing Phantom Steed to return to the battlefield from exile.