Mine are all used to gunfire, between bird hunting (we hunt a preserve that borders our property), deer hunting in our woods behind the pastures (and getting our shotguns sighted in) they don't really even pay attention to it. The only one who even lifts their head from eating is my Hanoverian mare and she's just a prissy diva all around.
I have been thinking about doing some mounted shooting, seems like a lot of fun. I have the perfect horse for it but I have never fired a colt so I have some learning to do. I do shoot clays with my 20 gauge off my old sorrel mare though :)