Horses really are. Probably why they're one of the more popular domesticated animals. Speed, power, loyalty, all the good stuff people want. And, unlike a cat or a dog, you can ride on them. So they're useful too.
They did; it's called Wild Wild West. It was a steampunk western on TV for a while in like, the 70's, and then they made a movie with Will Smith in it. Haven't seen the show, but the movie has a giant steampowered mech spider of doom, which is awesome.