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.
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 :)