No, not a friend but like your son, I had imaginary horses. I had an imaginary horse ranch and galloped around on my horse, "Jealousy." Fond memories. That was in the 50's when there were a ton of westerns on TV; Bonanza, Gunsmoke, Fury, Spin and Marty...all the good stuff from long ago.
When my oldest daughter was very young, she had an imaginary husband, Hoota Bob! We have no idea where she got the name from but it has been a fond family memory for years.