E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
To ride abroad with St. George, but at home with St. Michael; said of a hen-pecked braggart. St. George is represented as riding on a war charger whither he listed; St. Michael, on a dragon. Abroad a man rides, like St. George, on a horse which he can control and govern; but at home he has a dragon to manage, like St. Michael. (French.)