The plane was in the air less than a half hour when it turned back.
The pilots could be heard telling Air Traffic Control that they couldn't resecure the horse and needed a vet when they got back on the ground.
"We are a cargo plane with a live animal, a horse, on board," a pilot said to ATC. "The horse has broken out of its stall. There's no issue with flying, but we need to go back to New York as we can't resecure the horse."
The plane was headed to Liege Airport in Belgium.
ABC News has reached out to Air Atlanta Icelandic for comment but has not heard back yet.