I don't think it does much to calm them, but worn by a nervous person it may mask the smell of their anxiety or fear and so stop the horse being wound up.
It won't do any harm to offer the essential oil to a horse to smell, but I wouldn't force it on it or put it in a place where it couldn't move away from it. Their sense of smell is much more sensitive than ours so what we barely notice may be strong to them.
