Sleigh bells or jingle bells are attached to a carriage horse's harness to make a sound. They are traditionally worn by horses pulling sleighs for a simple reason - sleighs are very quiet. Without the bell, it might be hard to hear the sleigh coming. Then somebody might be run over.
Dog mushers also sometimes attach jingle bells to the collar of the lead dog for the same reason - so people can hear them coming.
You can clearly see the jingle bells, in this case secured to a strap around the horse's body. (Image source: Pete Markham via Wikimedia Commons).