From Muppet Wiki

Horses of various kinds have appeared on both The Muppet Show and Sesame Street. On the former series, one horse named Paul Revere debuted in episode 221 of The Muppet Show, while a few other horses debuted in episode 322 including Old Skyball Paint.

Regular horses on Sesame Street include Buster the Horse and Fred the Wonder Horse.

Elmo's World featured a horse focused episode beginning in Season 37, with several horses, and Elmo as a horse.