Do horses cry out in pain?

Only when the pain is very extreme. Horses tend not to show pain (sometimes to the frustration of their handlers). They're more likely to express pain by snapping at other horses or humans, snapping at their own body or lashing out. They may groan, too, but again, only when in a lot of pain.

Generally, if a horse "screams" they're trying to get attention, not to tell you they're in pain.