I used to wear a face mask when I went to lessons, and if I touched my face at all, I'd be dizzy, sneezing, wheezing, with puffy red eyes and a runny nose. It was horrible. I'd be jacked up on nasal sprays, anti-histamines, and the mask, and I'd still have a reaction every single time I'd be out there. Eventually, I complained enough to my mom (a nurse who wouldn't take us to the doctor unless we were dying XD) and she took me to see an allergist. Turns out, I'm basically allergic to outside. Trees, grass, pollen, dust, a lot of other fun things, and horses. The allergist told us that many people who come in thinking that they are allergic to horses are actually just allergic to their environment. Well, I just got the luck of the draw, I suppose.
I now take an anti-histamine and I get an allergy shot every two weeks. I've gone into anaphylactic shock twice, which isn't so bad compared to other people, but still kind of scary.
The allergy shots have been amazing. I used to have to come in twice a week, but now I've progressed to every other week. I can miss a day or two of the anti-histamine (Zyrtec) and still be okay. I also only need to use the nasal spray (Phlonase/Flonase, not sure on the spelling) every once in a while. The summer is still rough, and I still get reactions sometimes, but they are not nearly as horrible as before.
All that to say, pills and nasal sprays may not be enough for your boyfriend to feel comfortable outside with the horses. Granted, he may not need shots as badly because he might decide he doesn't want to continue with the lessons at some point, but his quality of life would still improve dramatically either way.
But if he isn't currently taking anything, he may not need shots at all. I would suggest having him talk to his doctor about trying some anti-histamines and possible a steroid nasal spray to help with inhalants. I used to take benadryl after every lesson, long before I started getting the shots, and I would make sure to shower as soon as I got home and change into something clean. Doing those things helped tremendously.
It's a good thing to not jump on the shots right away, partly because he may not need them, but also because they are expensive, even with good insurance. However, if he does end up requiring shots to make a noticeable improvement in his allergies, I can offer comfort as far as the shots themselves are concerned. The needle doesn't hurt, at ALL. The serum is what hurts, but it really just stings for a moment and then itches a little afterward. They inject the shot into the subcutaneous fat tissue. Sometimes I end up with a less experienced nurse/shot-giver-person (I'm not sure if they are nurses, since it isn't a hospital but an allergy clinic. I don't know what they are called there, or if there is a difference at all) and it hurts a little more, or they take a lot longer, but it's still not that bad. I'm definitely over my fear of needles. :)
This kind of turned into a ramble, but I hope I was able to give some useful information! I also hope that you and your boyfriend are able to find a solution to his allergies!