The Element of Crime, released in the U.S. in 1987, is directed by Lars von Trier. It takes place in a near-future dystopic Europe. The horses have a hard time of it.
At DailyMotion in 6 parts, here's part 1:
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Moria gives it 2 stars and calls it "incredibly dull". The New York Times calls it "a film noir that's murky without being terribly mysterious." Images Journal describes it as "a deliberate fusion of genres, philosophies, and nationalities."