I don't think it will make much difference for the order of reading them. I have "True Unity" and "Think Harmony with Horses". They are deep. Don't expect an easy to understand, step by step guide to horsemanship!! In fact, they were mostly over my head. I plan on re-reading them to see if I get more out of them later. I'd be interested in hearing your (or anyone's) take on them.
I know, KNOW they were the gurus of horsemship, but I got a LOT more out of Pat Parelli's 'Natural Horse-Man-Ship', and he credits all 3 of those as being his mentors,,so hopefully I was getting some (lots?) of their theory second hand from Pat's book. I highly reccommend it!