Game Info
Basic Strategic resource. Used by all Mounted Units.
Strategy
As the first strategic resource revealed on the map along with Iron, Horses are very important for planning your initial expansion. Research Animal husbandry, then look for the newly-revealed resources and try to settle near them.
Horses are required for all Mounted Units in the game, so you will be needing this resource quite a lot - try to ensure access to at least one - two sources; alternatively, ensure a stable trading partner for it.
Horses are usually found on open Plains and Grassland terrains. They are explored via the Pasture improvement which provides the opportunity to build in the nearby city the Stable. Both of these net a good increase in the tile's 
Production Production yield, which is very important in the early game. They also give a bonus to building Mounted units in the city - use this strategically.
Historical Info
As transport, implement of war, companion and (occasionally) foodstuff, horses are among the most important domesticated animals in human history. Horses were originally domesticated in Central Asia around 4000 BC, and over the next several thousand years the practice spread across Europe, Asia, the Middle East and Africa. Horses were transported to the New World by the Spanish in the 16th century, where their use was quickly and enthusiastically picked up by the native population in the following centuries. Remember that horses are strategic resources, and thus they are consumed as you construct the associated units and buildings.