*flails*
Sorry to double post, but... OMG... I just found some photographic evidence of these horses! I was looking at a link about Grand Champions posted to the Arena, and there is a page with some unknown horses... and I immediately recognized the yellow one! I think when I "saw" him back in the day, it was as a picture on the back of the box.
image of yellow horse:

Link to website where I found the picture, and pictures of two other horses of the same type:
http://bluegallop.topcities.com/ATXTHGToys.htmlOf course, a few things about the info (what little the site owner has) listed on them contradicts what I remember about them.
Like the fact that I swear up and down I remember them having carousel poles (though one of the horses on that page does have an odd tube that could have had a pole in it at one point), and I don't remember them having fancy tack (and the site owner does).
Then again, it's highly possible that these horses came both ways? Like maybe what I remember was a special set? (Cause I swear I remember thinking "I can get more horses if I buy this instead of buying the Matchbox carousel".) Of course, even the carousel ones I saw might have had some kind of tack, I don't have the most stellar memory.
And like I said, I definitely remember the yellow horse, but I think he was actually an image on the box, showing you the other horses available (I also possibly might remember the other two as well, though they were definitely just images on the back of the box... otherwise I would have been all over the black one like glue... my mom would have not been able to get me out of the store without the horse.)
Other than the photographic conformation of their existence, there isn't much more info... no name for the horses, or anything like that. At least I now know I am not insane!
The site owner says something about HG Toys at the top of the page. Not sure if that is actually the manufacturer, but maybe it's some sort of start? The site owner mentions that HG horse collectors don't recognize them, so it's possible that isn't the maker? I looked up HG Toys, but can't find much info on any toy horses made by them (maybe I am just not looking hard enough?).
Sorry for this big post, but wow... just, wow. I was so excited when I found this, I had to come here and post right away!
*more flailing about*