There doesn't seem to be many Christian movies involving horses, so my list is pretty short here, however "The Ride" is one of my favorite movies. Produced by Billy Graham Minstries in 1997, you may need to search for a copy (VHS or DVD), but it is worth it. The movie is rated PG, so if you have young children you may want to preview it first. The setting is on a boy's ranch in the west. There are some horses in the movie, but primarily it's about a down and out rodeo rider who is sent to the ranch, rather than jail, to teach a young boy how to ride a bull. The movie powerfully presents the gospel of Jesus Christ. The movie is also available from the Billy Graham website.
Cowgirl Store 
we owned it for a while! 
