Hey Brittany,
My Diva is very rarely on a leash unless we are away from home. I don't really know how we did it...
it jsut happened. I do know that in the beginning, when she was a pup, I used to take her out really early when noone else was out and late at night and she just never would leave me...now if she saw someone she knew(a neighbor or kid may call out to her), then she'd go running to them but nothing off into the distance. Sure she'd see a bird, squirrel, etc. but if it was far enough off, she'd just perk her ears but never took an interest into running after it..if it were fairly close, like a few feet she may kinda dash towards it a little but come right back.
If you want to start trying it and you say(if I read correctly) that he would run down by the horses, then come back, I would treat him every single time he came back... So every single time he left your side, then returned to your side, treat him... something like that. Now, I'm not trainer of course but going but the treat, treat, treat, for good behavior theory, I'd try that.
Good luck...Let us know how it works. Also, he is still a puppy. I think as they get older, they'll definitely settle down a little bit more as time goes on.