OP I can totally believe it. Horses seem to me to be incredibly intelligent and yet thick at the same time... (Eg: irrational fear of leaves, etc).
When my older kids were little, we had two dogs - the dogs were the same age as eachother, but bought two years apart. Son 2 has autism and always longed for a dog. We got him a staffy puppy who became the centre of his world and, two years later, a 2 year old bull terrier which became, somehow, son 3's dog.
Every night the staffy would sit on the knee of Son 2 and little bull terrier on the knee of Son 3. But one night, the mini bull decided she was sitting on Son 2, as if she was comforting him and stayed with him all evening, not Son 3 as usual.
A day or two later, staffy, who had been apparently extremely healthy right up to that day, was rushed to the vet and diagnosed with a brain tumour. He had to be PTS a couple of days later. We all looked back on it and thought that the little mini bull knew there was something wrong with staffy, even before we did, and was comforting Son 2 who was about to lose his beloved dog.
She was a nervous wreck when staffy died and long after, refused to go to the part of the garden where he was buried. In fact she lived another 8 years, and never went there again now I think of it. She also shook uncontrollably for weeks. She took over son 2 as well as 3, after staffy went and on an evening would divide cuddles between them.
I used to walk my dogs separately every day as the bull terrier was blind and she couldn't risk being knocked into by the boisterous staffy trying to play with her, on walks. Staffy had a horse friend. We'd walk a circuit every day at the same time a woman rode her horse in the same circuit, opposite direction. She told me, when horse saw my dog on the horizon, he'd start cantering to try and get to him. This horse was utterly fixated by our dog. She lerved him. (Not mutual - the dog found her scary). And every day she'd have to be greeted by the dog, for her morning to be complete. Animals do seem to form attachments across species, and mae 'friends' with other animals. Same staffy had the cat absolutely devoted to him, like his mother. And that cat took no prisoners and liked nobody and nothing - apart from the staffy.