I also liked Marguerite Henry. Somerville's The Irish R.M. is a good horse book too.
If you want something that will put chills down your spine, read "The Tale of the Gypsy Horse" by Donn Byrne.
I'll try "The Tale of the Gypsy Horse." I've never heard of that book but I have a movie called "Gypsy Colt" about a girl that owns this horse and her parents have to sell it to make the rent or something. The horse is sold and taken away but he makes his way back to the little girl, ala "Lassie Come Home." It's not the same story, is it?