This maybe a bit confusing, but horses actually are double coated meaning they have a very dense thick undercoat with the upper outer coat. I found this out quite by chance. I had given a horse a complete full-blown bath with shampoo and conditioner. I then was using a water/sweat scraper to remove all the excess water from his coat that I could. Then when he was fully dry with no time to roll or get turn-out I started brushing him, guess what his under coat revealed, yup it was still dusty and quite untouched by the bath I had given him. I had used a rubber nubbed bathing mitt all along while giving him the bath.
That I reasoned is why they fair far better in most climates given a chance for them to get acclaimated to different altitudes or seasonal weather changes. For a very good example, I have a friend who is Swede by birth, but married an American and became a naturialized USA citizen. Her American husband was killed in an auto accident so she sold off all her assets here and shipped herself and her horse to Sweden.