Horse head armour
Horse head armour is worn by your horse and increases its defensive stats, but may occasionally decrease speed.
Body Armour is a category of horse tack. At this point there is no known horse body armour in the game, although there is a spare inventory slot on your horse. This is primarily for the use of modders.
Covers, also called caparisons, are a category of horse tack that can be purchased from the Horse Traders.
Bridles are worn by your horse and give them more courage.
Saddles increase the load capacity of your horse, meaning they can carry more weight, but decreases their speed.
Horseshoes increase the speed of your horse.