He may have a negative association with horses. It's possible that he was kicked badly. Chances are he did not get out of his pen much though, being from a puppy mill situation. It is possible that he was actually abused as horses were whinneying. And he may have never seen the horses, but only heard them, so hearing them on TV might be similar to the experience he had.
If he is otherwise ok, he should become desensitized to the TV. Give it time.
Jenna, RN CGC & Babs, CD RA CGC HIC
Heidi, RA CGC
SG3 Odessa, SchH1, Kkl1, AD
Ninja, RN CGC & Milla, RN CGC
Joy, Star Puppy, RN CGC
Dolly CGC & Bear CGC