Some horses are anxious in certain situations such as loading in a trailer or at an event such as a barrel race.  There are lots of products on the market that claim to calm your horse and most of these are supplements that are not FDA-approved and have no proof that they are effective.  Researchers at the University of Guelph in Canada performed a study to compare the effects of acepromazine which is a tranquilizer requiring a prescription from your veterinarian to a magnesium based antianxiety formulation that is a supplement. 

Horses were treated and heart rate and cortisol levels were checked to determine the amount of anxiety when performing certain tasks such as loading in the trailer, walking onto a scale, and riding in a trailer.  Results indicated that all of the tasks did produce a stress response and that acepromazine and the magnesium supplement did seem to decrease anxiety while the control substance was not effective.  The concern with acepromazine is that it cannot be used in competition and there are side effects of acepromazine that many folks do not know about.  Although many horse folks feel a little shot of acepromazine is no big deal, acepromazine can cause an irregular heartbeat and low blood pressure, and in geldings can cause penile prolapse and inability to retract the penis.  For this reason, I use very little acepromazine, especially in male horses.  The magnesium supplement did produce some calming and might be worth trying if your horse has anxiety.  There are also a lot of folks using illegal substances for calming their horses, most of which are human antidepressants.  Many have dangerous side effects so avoid these human drugs in your horse regardless of claims from the internet