Mexico, Missouri was once noted as the 'Saddlebred Horse Capital of the World". The American Saddlebred Horse Museum was established in 1970 to complement Graceland. It is the oldest Saddlebred Horse Museum in the nation. Exhibits include an extensive range of equestrian memorabilia.

Featured in the museum are Tom Bass (a famous black horseman), George Ford Morris, Art Simmons (a local trainer) and Callaway Hills stallion, Will Shriver. The invincible Saddlebred Horse, Rex McDonald, is buried on the grounds.