I want to look at countable ultraproducts in a concrete setting.
Specifically, for each $n\in \mathbb{N}$, let $S_n = (A_n, B_n)$ be a finite model where $B_n$ is a binary relation. Let $U$ be a nonprincipal ultrafilter on $\mathbb{N}$.
Suppose that we have a subset $T$ of the ultraproduct $$S:= \prod_{n\in \mathbb{N}} {S_n}/{\mathcal{U}}$$ such that $T= \prod_{n\in \mathbb{N}} {T_n}/{\mathcal{U}}$ for some $T_n \subset S_n$.
Is $T$ necessarily definable in first-order logic with equality? I can't think of a reason why it must be (although, conversely, any definable subset of $S$ can be written as the ultraproduct of a sequence of sub-models of the $S_n$).
But I'm also having trouble coming up with a counterexample. Any help would be appreciated.
No. For instance, if $B_n$ is always equality, the only subsets of $T$ that are definable (with parameters) are finite and cofinite sets (because we have no relations besides equality). But if, say, $|S_n|=2n$ for each $n$ and $|T_n|=n$ for each $n$, then your $T$ is neither finite nor cofinite in $S$.