That story is from Greek mythology, specifically the Trojan War, and is attributed to the Greeks, not the Mycenaeans.
The story of the Trojan Horse tells of a cunning trick used by the Greeks to infiltrate the city of Troy and win the war.
The Mycenaeans were a real civilization that existed in ancient Greece from around 1600 to 1100 BCE. While they were known for their impressive palaces and fortifications, there's no historical evidence to suggest they built a giant wooden horse.