That should be a simple question, right? But it really isn't. It's not the Olympics - which while they are extremely prestigious only include a limited number of disciplines. (Three day eventing, dressage, show jumping and modern pentathlon)
The FEI World Cup maybe? Depends on whether you care about the fact that the different disciplines are held in different locations. A case could be made for CHIO Aachen in Germany.
I'd call it the World Equestrian Games myself - held every four years, halfway between the Olympics, and including eight of the ten FEI recognized disciplines...but it still doesn't include everything and some people argue only annual shows count.
The world's biggest single breed show is much easier - it's the AQHA Congress.