Haha grass is always greener. I know a few whom were threatening to move to Australia (never mind Canada) because of this election.
Honestly, finding what where, depends on what circles you travel in. Like in south Mississippi area for example. Alabama, Mississippi, and Louisiana are pretty hard core old school Hunter types, with plugs of Polo and Polocrosse. However, Western Trail, Western Horsemanship/Equitation and such are trying to make a come back. Now Tennessee is hit or miss. SW TN is heavy Hunter and Gaited territory, but there is a lot of western here too (Barrels, Cows, Donkey Penning, Team Penning, etc). East TN is a heavy Gaited hitter as far as I know. North Mississippi is Fox Hunting territory, and has a few Polo farms.
So you really have to research where you want to be. Even though areas in the NE around Massachusetts and Connecticut are heavy Eventing circles, and New York and New Jersey are major racehorse zones, it is a different area of living with a really heavy horse zone than compared to the Mid South area. There is a lot of money up that way and a different cost and expectation of living. I'd find Texas and Colorado possibly comparable on the Western compliment.
If I had to pick anywhere in the states for horse anything though, it would probably be Florida. Florida is horse central now between West Palm Beach, Gainesville, Ocala, and I think maybe Sarasota. It's the new home for Hunters, Eventers, Dressage, Natural Horsemanship, Racing, and probably most of the Western disciplines as well, especially on the cow and ranch end of things. Mostly because everyone winters down there, but many stay all year around.
Think of it not as a failure but as a success in how not to do it.
Don't look in a horses mouth for a gift.