If you were short material doesn't it show anyway in the city "train" menu? You wont be able to select it and train them but if you put your cursor over it then it should say what material your missing.
But if it's not there at all you might not have researched the proper tech to train the horsemen, if memory serves i've gotten horses before i've gotten horsemen and was able to custom design my "Light Cavalry" and build them. But i play a pretty modified game so it might be one of the mods i'm using.