Well, we all know that, but in the horse world it can mean something slightly different.
A horse that has "good bone" has a solid skeletal structure particularly in the lower legs. Sometimes horses are advertised as having X" bone - in this case, the inches are the circumference of the foreleg just below the knee, as measured with a string or a tailor's tape.
The more "bone" a horse has, in general, the more weight it can carry and stay sound. Light or poor bone means thinner legs that aren't going to be up to as much. Thoroughbreds and other horses bred for speed tend to have lighter bone.
So, bone is one of the things a horseman might take into consideration when assessing how much weight a horse should carry.