Here's a breakdown:
* Montar means "to ride" (in the sense of riding an animal).
* A caballo literally means "on horseback", but is used as a prepositional phrase to indicate the mode of transportation.
Here are some examples of how to use it in a sentence:
* Me encanta montar a caballo. (I love horseback riding.)
* Aprendí a montar a caballo cuando era niño. (I learned to ride horses when I was a child.)
* Vamos a montar a caballo este fin de semana. (We're going horseback riding this weekend.)
You can also use the more formal "equitación" which directly translates to "equitation".