Generally speaking, the celebs' secrets for thin legs are:
LOTS of yoga/pilates. We're talking hours at a time with a personal trainer over a long period of time. Also they'd probably tend to stay away from any activities that will bulk them up such as strong weight resistance or, as you said, horseback riding, as that will cause the muscle mass to increase.
Cosmetic surgery.
Eating disorders. Starvation burns as much lean body mass (muscle) as it does fat, so when a celeb goes anorexic it's not just the fat in their bodies that they're losing, and this is one reason why a lot of people with EDs have bad heath and heart problems - the heart is a muscle and losing "muscle mass" weakens it.