Subtitled movies sometimes have that nice feature, where important sounds and background noise are written out in words, something which you could not learn from just the audio.
In this way I understood that horses can neigh, whinny, snort, snicker, hooves, and whatnot.
There is that one sound that, if a human made it, we would call "blowing raspberries". Horses frequently do that in movies, but I found no consistent subtitling for that sound. Research on https://dict.leo.org finds discussions, but no clear answer. Wikipedia entries mention all sounds, but do not describe it in a way that would allow a clear assignment. Especially the distinction between neighing and whinnying seems to be blurry, my impression is that neither would match.