Wow Allison, I'd have probably p'd my pants! That would be one that you could legitimately call bombproof!
I try to expose mine to as much as possible. One thing I love about our place is that we have a train track that runs along the whole north side of our property, amtrak + several regular trains hauling grain cars come through everyday. It's always interesting to see reactions to the train on horses in for training the first time we ride next to the tracks. Mine barely raise their heads when it blows the whistle at the road crossing.
They are used to all kinds of equipment, 4-wheeler, bobcat, tractor, etc. My hubby is an avid hunter and shoots clays so they are used to gunfire. I even shoot clays with him off of my sorrel mare on occasion, I've been target shooting my compound bow off of her recently as well. The whirring noise of a released arrow bothers her more than a semi-auto shotgun. She doesn't move but is more alert.
The best desensitization at my place though is my 6 yo daughter. She plays in the barn aisle if I'm riding in the indoor or in her 'pen' if I'm working in my outdoor. She's exposed them to hula hooping, jump rope, her powerwheels car, party noise makers, her bicycle, pretty much any toy that makes noise, they've seen. I let her drive her car in the pasture with my older mares, they follow her around like the pied piper. She stops on occasion to give them a pet and then right back to following her they go, it's pretty funny.
Life is like a camera. Focus on what's important, Capture the good times, Develop from the negatives and if things don't work out, Take another shot.