To protect them from injury, the same as the rider. When a horse and rider go charging into battle where others are swinging swords, axes, maces, and trying to skewer each other with lances, some...
Well.... with what i found, there wasn't much armor for the horse. just a saddle, bridle, and other tack... so it looks like the armor doesn't protect the horse very much. hope that helps!
If you don't, you need to download the 'Horse Armour' expansion, if on the Xbox or PC, or buy the Shivering Isles expansion for the PS3. If you do, just talk to all the horse vendors until you find...