Horses (or donkeys) seem like a reasonable inference, unless you’re willing to contend that Paul walked to Damascus.
We don’t know - scripture does not say. It does say we are not to “go beyond what is written”. Today’s Christianity does not know scripture for the most part, even most pastors. And much of what is taught is not found.
In Paul’s day only the very rich had horses and most of them did not have them. IF middle class had an animal to ride - it was a donkey. Our Lord Jesus walked everywhere as far as we know - many miles. It makes sense that Saul would have done the same.
I just think the addition of a horse/horses is a human addition not found in scripture and therefore should not be assumed and added.
As a new believer at 19, before I entered “the ministry”, I was soundly taught to challenge every teaching, every thought, by the written Word of God. And to not add to what is written.
I am grateful for that foundation.