Horses make a return in Assassin's Creed III. After completing one of the main sequences, Connor will receive his own horse which he can choose from the equipment menu. Call in the animal by quickly pressing the shoot button and climb it with the jump button.
Connor's ability to attack other enemies on horses is very useful. In order to perform it, you need to approach the enemy and press the attack button. If you're chasing an enemy, you can also use the pistol.