There are around 5 or so horseshoe pits but they are marked on your map by a horseshoe logo. There is one near MacFarlane Ranch once you get far enough into the game.
Also one is Skatetheller fort or whatever it is in the northwest corner of New Austin, and one in Las Hermanas in Mexico. Don't think I've seen any others. (Just a tip, bet low unless you have a lot of confidence for you to get ringers every time. :P)