I ride at a small barn west of Columbia (on Route O, after Midway and before the MO river). The barn is an 8 stall barn, but two of those "stalls are occupied by a tackroom and a grooming stall, with an aisle down the middle--to give you an idea of the size. One end of the barn is always open and the large doors at the other end are also open this time of year.
In the grooming stall there is a stack of wooden cubby holes about 1'x1'x1'. And in each cubby hole is a small bucket that holds brushes and such for grooming horses. Over the last couple weeks, I kept finding wads of hay stuck in the bucket I use. I suspected some sort of animal, but could tell what it was. On Tuesday evening the bucket above mine was the one with the hay in it. This time it looked like a definite nest rather than a more unorganized wad of hay. The hay at the top was shaped to form a tunnel going down deeper into the nest (I wish I had taken a picture). There was also a little moss and some horse hair incorporated into it, but it was mostly hay.
When we pulled the nest out--we still thought it might be a rodent and couldn't really have a nest there--there was not much in the lower levels. But we did discover an egg in the bucket above the one that had the nest.