In racing, the rail is the fence that runs along the inside of the track.
In other disciplines, the rail is the outside fence of an arena. (The term is even used in indoor arenas which have a solid wall). By extension, the "rail" also refers to the route around the very outside of the arena - riding "on the rail" or going "to the rail." (The term "track" is also sometimes used, especially in a lesson context).
The riders in this arena are cantering "on the rail."