My prediction for Daenery's next setback will be that Randyll Tarly will wipeout the Dothraki in an epic on screen battle.
The show has already highlighted Tarly's Westerosi nationalism and xenophobia, as this was the reason he decided to support Cersei over Daenerys. He doesn't want to see savage outsiders run rampant across Westeros and so it would be fitting for him to be the main general to stand against the Dothraki.
Since the first season characters in the show have had a very high opinion of Dothraki fighting ability, and everyone assumes they'd cut through chivalrous Westerosi knights like a hot knife through butter. Of course there's no evidence that this would be the case, as the Dothraki have never stepped out of Essos and come up against Westerosi armies. It would be a stunning upset and great drama if this Dothraki reputation is not all it's made out to be, and some clever tactics by Tarly, a reputed genius General, allow him to utterly destroy the Dothraki.
Additionally it makes sense for the Dothraki to die in a field somewhere for story reasons as well. It's not going to be a very good look for Dany if the Dothraki pillage Westerosi villages, rape women, tear down septs, and carry off religious artefacts. If this doesn't occur then it would be hard to believe that the Dothraki have changed and they would be capable of happily adjusting to Westerosi norms, becoming knights and occupying holdfasts. There's simply no place for the Dothraki in the story in the future. The Dothraki have to go away somehow and I bet we'll find out how soon.