In CT if something is stolen be it a horse, car, or kids bike the police take the theft very serious and a report will be written up.
So the OP talking to the police would be appropirate for a report to be written up.
Also, depending on whether or not the town has a local PD the OP could be talking with the state police who really don't mess around and would advise her on what the next step would be for her to take against the person who sold her horse.
I have dealt with the state police before due to a neighbor who thinks he can run the neighborhood. Yea haven't heard much from the guy in a few years.