Yes, but the term describes a type of horse, not its body temperature. All horses are mammals and are physiologically warm-blooded. In horse breeding, “cold-blooded” (or “cold blood”) is an informal label for the heavy draft breeds, such as Percherons, Shires, Clydesdales, and Belgians, which were developed for farm and hauling work and selected for a calm temperament.
The term is part of a loose three-way grouping: “hot-blooded” horses such as Arabians and Thoroughbreds tend to be more energetic, and “warmbloods” such as the Hanoverian and Dutch Warmblood were produced by crossing hot-blooded and cold-blooded horses.
Source: Kentucky Equine Research: Hot Blood, Warm Blood, Cold Blood in Horses
Image: Dyfed Shire Horse Farm by Garth Newton, CC BY-SA 2.0, via Wikimedia Commons.