Horses or diving, neither is cheap.
The cost is all relative. Some may be able to afford both quite easily and think both are relatively inexpensive, while others may barely be able to afford one.
There are ways to make diving relatively affordable.
Buy used gear or on sale.
Learn to service your own gear and learn where to find parts cheap.
Learn which brands you can get your own parts for.
Dive locally and learn to be happy with that.
Realize that it doesn't take all the modern fancy expensive gear just to get out and enjoy a simple dive.
Horses:
They are a living breathing animal and need lots of care. Horses can't just be thrown into a closet and forgotten about until you get enough money to decide to go out and ride them.
There is food, boarding, vet bills, transportation and the vehicles and trailers associated with the hobby, and all the other gear needed.
Horses cost way more money.