Symbolism, Imagery, Allegory
You didn't think we were going to talk about a book called All The Pretty Horses and have there not be horses, did you?
Yeah, we didn't think so.
Horses in the book are often associated with nature or the wilderness, something which is far more durable than humankind, and which gazes upon us largely without warm-fuzzies. To put it simply, nature couldn't care less.
John Grady Cole has a few dreams about horses throughout the novel, one of which features horses drinking from pools among the ruins of some forgotten civilization with rain-eroded writing on crumbling buildings.
In the dream, John realizes that "the order in the horse's heart was more durable for it was written in a place where no rain could erase it" (3774). Though John is considered talented with horses, they are at times alien even to him. When they lure in a pack of wild horses to the ranch, John observes their panic at being fenced in and remarks, "They dont know what we are" (1473). The horses smell John like he is "news from another world," and to John, they don't even smell like horses at all, but "like what they were, wild animals" (1584).
They are not necessarily separate individuals like people are, but seem somehow whole—as one man the boys encounter says, "the horse shares a common soul and its separate life only forms it out of all horses and makes it mortal"—"if a person understood the soul of the horse then he would understand all horses that ever were" (1642). The unity and sense of common being that horses share highlights the contrasting discord and loneliness among humans. Oh, and by the way, this aspect of the novel is explored at greater length under "Man and the Natural World" in the Themes section. Head on over there.