I've never given it to a horse, but my guinea pigs loved watermelon skin, esp the part that had no pink. They are ideal sharers of watermelon. They only seem to want the bit that we don't.
Ours love a honeydew melon, skin and all. Not tried a watermelon as I don’t like it so I never buy it. They also love nectarines (minus the stone) and kiwis and Monty goes mad for a tangerine.
My boys both love watermelons, as well as melons, oranges, lemons, tangerines, different berries, plums and peaches (without the pit), but the ultimate treat is bananas! And, if anyone wonders, no - we don't live in a tropical country.