True Lies is my favorite Schwartzenegger movie.
I read that before he made it, he looked at the culture and decided to do something positive for it based on his deepest moral beliefs. So he went to the Hollywood people and said that he wanted his next movie to be one promoting family values. They of course told their huge box office draw something along the lines of "Hey, we love ya, Arnold! We're behind you 1000%! Er, by the way, have you noticed that all of your movies that made money were action-adventure blockbusters?" But Arnold stuck to his guns, and so they put their heads together and decided to create an action-adventure blockbuster that would promote family values. The result was True Lies.
Of course, stories about how movies are made are always written by the publicists, so take that with a huge grain of salt.
After the 2002 TOC summer conference at UCLA I stopped in downtown LA and took a picture of the hotel elevator where the horse scene was filmed. It bears a plaque saying it was used in the movie.