Wow, what a nightmare, I'm so sorry to hear about your situation. I had my laundry stolen from the laundry mat this summer- Obviously not as harsh, however a lot of people gave me a lot of suggestions as to what I could do.
The police couldn't do anything. But a lady told me to check on Craigslist. Maybe you could at least try that. See if you see something suspicious in the state you live in. I doubt anyone would steal horses from their own town?..
Honestly I wish you the best of luck and their safe return home.
If I see anything, you'll be the first person I contact.