Certainly this is possible -- there are lots of metals that are stronger than bone for the same weight. Websearch turns up this article, "why are your bones not made of steel?", which concludes that there's not really a good reason. Quote:
The activation energies for oxidation and reduction of iron are of the order of 30-60KJ/mole, comparable to the figure of 57KJ/mole for ATP, a molecule which is commonly used for delivering energy around our bodies. We normally make iron from its ore at very high temperatures, because the rate-limiting process is diffusion in the solid state. But the body makes materials in a very different way, from the bottom up, atom by atom, molecule by molecule. And of course the fact is that you are already oxidizing and reducing iron inside your body all the time. Haemoglobin, which is the molecule that carries oxygen around in your blood, works by having a single Fe ion at its centre, whose oxidation state can be changed to allow the molecule to take up, or release, oxygen atoms.
(I speculate that maybe our ancestors didn't have access to ingestible iron in large enough quantities to make bone out of.)
So, yes, if you modified a horse enough, you could give it the ability to make and repair metal bones, and you could give it the ability to digest metal fast enough to make the bones out of it.
But at some point you have to ask: wouldn't it be easier to just build a robot horse?