Is there anywhere in or near Puerto Peñasco that sells horses? If so, it would be easier to buy a horse locally than to import a horse from across the border (from the US/Canada). So far I can't seem to find a place that sells horses in Puerto Peñasco.
Typically everything is for sale in Mexico. I see those guys with horses on the beach all the time. I suppose you could just ask them how much for the horse? At a minimum, I'm sure they could set you up with somebody.