That's a very cultural point of view. It depends entirely on where you live and it certainly isn't a 'wrong thing to do'. There is no reason why horses couldn't be bred for food production like Cows. Some countries do eat cats and dogs as there is nothing unhealthy about eating them.
There is nothing wrong with eating horse. It won't make you sick, it's full of nutrients and I've heard it tastes quite good. If it was available in supermarkets (by design) I'd consider trying it out and if I liked it I'd continue to do so. There is nothing wrong with my moral compass, but anywhere that may ban it is likely to do so as a result of the emotive values they place on what is essentially an animal like any other from a strictly evolutionary point of view.