Here in this scenario, Twilight is using her powerful magic spells (represented by the snowflake-like Christmas decoration around her) in attempting to turn some miserable horses into colourful ponies just like her. The Clydesdale got hit by her magic, and so tells the little Clydesdale and the two Shetlands to run away, and not waste any time trying to save him. If they did, the three other horses would have succumbed to her magic, and would painfully mutate into colourful freaks like Twilight and her friends.