Are cars, planes and trains all actually even one order of magnitude more efficient than a horse? What does that actually mean? I don't have any numbers on hand, but I would be surprised if a car has more than 2x the energy efficiency of a horse.
According to this source[1] an endurance horse riding 100 miles per day requires 78,800 KCal of energy, which translates to about 329 MJ or 91 KWh of energy. That's equivalent to 2.55 gallons of gasoline, so about 39 mpg. The world record for Teslas using hypermiling techniques and a similar amount of energy is about 700 miles, so it's close to an order of magnitude better for electric cars. With multiple passengers in the car the energy efficiency per passenger increases. Trains are also quite efficient on a per passenger basis, with the ability to carry a passenger about 2000 miles for the same amount of energy as a horse traveling 100 miles. Aircraft can go about 80 mpg per passenger, so they are about 2x as efficient as a horse.
I don't have the numbers to back it up, but apparently a human on a bicycle is one of the most efficient forms of transportation available, better than any animal apparently in terms of energy per distance.
I briefly tried to get numbers then gave up. However: I think you are underestimating the efficiency of wheels.
See here for an example how a dozen HP (ironic unit name) suffice to pull tons and tons of stuff on a train track [0]. Same principle goes for street/tire to a large extend.
So I'm pretty sure that is the one thing that knocks the horse out of the park.
I excluded planes here, but I would imagine that they reach their improved efficiency by doing a lot of movement via gliding, while a horse has to actively "work" for every bit of movement.
All of this is intuition though, so please chime in if you can provide some actual science :)
This is funny, but it's actually how I think about cars.
Traveling on a bike, motorbike, horse, whatever, where you can feel the air outside is so much better. But being packed in a closed container...
Planes, cars, trains are obviously orders of magnitude more efficient than the "open" options, but they feel unpleasant and unnatural.