Police say the horse was in a pasture near the community of St. Michael when it was hit in the torso by a bullet.
The animal is recovering from the wound.
RCMP say it appears the shooter was deliberately trying to harm the horse and there are no indications that it was a hunting accident.
Residents of the area have reported seeing people shooting a gun from inside a pickup truck on the road.
Police say injuring animals is a Criminal Code offence that carries a maximum penalty of five years in jail.