If your horse isn't used to having dogs right under their feet, I would not suggest doing this. I did use this method when my dog was a puppy; however, the horse I used was a foxhunter and always paid attention to where the dog was. There are too many risks involved.
What I suggest doing is start turning your horse out with your dog attached to a leash walking along side of you. This way, the dog and horse get used being close together before you are on the horse.
This is what happens when you have democrats in office