Couldn't this also be "He is my horse" or "She is my horse" ? I tried both and both were marked wrong.
Edit: I asked a native speaker and they said "yes" it could be He or She, but if it was "She is my horse" then it would be "वह मेरा घोड़ी है।" The word घोड़ा is male or generic/unknown.
He' and 'she' would be wrong in english as well,
In English, if you know the gender, it is normal to refer to horses as He or She.
Example 1: "Please sir. He's my horse." (from the book "War Horse")
Example 2: "Show him down a little, keep him steady" (From the book "A horse of her own" ) This is a good reference book for this point, because the book is filled with references to horses as "he" and "she."