-Wander ends up with horns.
-ICO has horns but they end up broken.
-The Last Guardian has horns and they ARE broken.
The story begins with Shadow of the Colossus. The very last line of SOTC is "Should you be alive... If it's even possible to continue to exist in these sealed lands... one day, perhaps you will make atonement for what you've done" by the priest who sealed the land. These words foreshadow that he can set right what he did wrong and that his soul continues on it's journey even after the events of SOTC. The three are obviously tied throughout time in a way that correlates to asian philosophy on reincarnation. The important element to keep track of is the horns and knowing whom they truly belong to.
Loosely, though enrelated, the 'women' tie SOTC and ICO together. The 'boys' tie ICO and The Last Guardian together. And The Last Guardian beast ties together with the 'colossus' closing the loop. Each previous life symbolically plays a significant role into the next one.
A few theories could be that after the events of SOTC, Wanders soul was exiled. Boys were born with horns and cast away repeatedly until hundreds of years later something different happened. One of these boys escaped and he did a good deed. He had compassion and helped a woman he came across in the castle. This was no ordinary woman though. This was the daughter of the dark queen who lives in a castle full of shadow people like we see in SOTC. Could she be Dormins queen or mistress? What is her connection to the shadows? It's hard to determine but perhaps Wanders soul had achieved something through helping Yorda and killing the queen. She was obviously tied to the shadows and darkness. He also ends up on the shores as if he has been cleansed. Did Wander eventually become one of the guardians he originally slayed? Wanders soul may have eventually earned the right to become guardian and a colossus himself with time. Afterall we know Dormin was split into 16 pieces but we know very little about the creation and existence of the colossus themselves. Either way, this new colossal beast in The Last Guardian isn't blindly being killed like in SOTC, instead it is embraced by love from a boy. The love needed to keep Dormin at bay and seperated. It's original intent and his purpose as a soul. If this beast was met by a warrior surely he would be slayed.