My horse had this a couple of years a go. It could be a number of things like the diet but before you start looking into all of that, give your horse a good bath and see what happens. I got really stressed thinking I was doing something wrong but after a good bath and some time for the hair to come out and some naked days, she was fine. Hopefully it's as simple for you too
I would double check it's not lice, I thought my lad had dandfruff last year,
turned out to be lice, I blamed the hens on the yard, but must wear my glasses
Horses shed a few skin scales with the hairs in their winter coat - nothing to worry about. Keep rugs off as much as possible and give him a good going over with a rubber curry each day.