After Twilight Velvet gets held hostage, she is given a doll for comfort as the police in Canterlot clean up the mess. Her assailant has apparently died, and Twilight Velvet gets sent home. She hugs each member of her family in turn and gives Twilight Sparkle the toy she had held for comfort.
In the morning, the young filly is enjoying her new toy, but she seems to be talking to it, and acting as though it can talk. Surely that's just a foalish habit, right?