Admittedly, horses are not my area of expertise, but books about them are a popular request and there is enough variety in this sub-genre to meet a range of reading levels.
For chapter books, Misty of Chincoteague by Marguerite Henry is of course a classic. First published in 1947, the book won a Newbery Honor Medal and remains in print (Aladdin Paperbacks, $5.99). This interesting website is hosted by the Misty of Chincoteague Foundation and has lots of information about horses, Chicoteague Island and the real-life inspiration behind the book, as well as biographies on the author and illustrator, videos, and teacher resources.
Henry has written numerous other books about horses, including King of the Wind (Aladdin, $5.99), which won the Newbery Medal in 1949. It is well worth reading and a fascinating story not just for horse-lovers.
Early readers will enjoy Cowgirl Kate and Cocoa, by Erika Silverman (Harcourt, $5.95). Titles in this series are appropriate for 1st-3rd graders and are excellently illustrated by Betsy Lewin, who illustrated Click, Clack, Moo: Cows that Type. Also available for early readers are Pal the Pony, by R. A. Herman (Penguin, $3.99, K-2nd grade), assorted non-fiction books (Ponies, Ponies and Horses both by DK, $3.99, K-2nd grade) and the Pony Mysteries by Jeanne Betancourt (Scholastic, $3.99), author of the Pony Pals series (both 2nd-4th grade). Series for older readers include Horse Diaries (Random House, $6.99), Canterwood Crest (Simon & Schuster, $6.99) (both 4th-6th grade), The Horses of Half Moon Ranch by Jenny Oldfield (Sourcebooks, $5.99) and two series by Lauren Brooke: Heartland and Chestnut Hill (Scholastic, $4.99-$5.99) (all 6th grade+).