Welcome to the forum! Whew - that is going to be a tall order! Going on a horse, almost by definition has to be portable. So outside of cardboard and some sort of fire garland, seems like you'd be in the market for something battery powered?
Strands of LED lights would be the go-to there, just for the energy efficiency. If you want plug-n-play, I'd search for 'fairy lights' which typically have a battery pack built in...3 AA cells and you're off to the races!
A step up from there would be a strand of neopixels that you could program to twinkle red/orange/yellow and look like fire.
Further still, search for 'faux fire' on here, or browse through the Technological Terror section. Some good discussions on using ultrasonic mist makers and shining LED lights through for more fire effect... They run on 24V which is within the realm of batteries, though keeping all that sloshing water relatively contained on a horse might present more of an issue.
The high end would be some sort of fog machine, but those are usually mains voltage...120VAC in the states, so a little harder to run on batteries. But as I am often told, where there is a whip, there is a way... so even that could be made to work with effort!
Hope this helps.