You can either give him a short coat, or else those softy cloaks found on the Roman tribune (was it a tribune) set - which is still not a perfect fit horseback-wise, but better than nothing.
Then again, one of the classic PM sets - the 3688 knights training set, the klicky is wearing a hard, calf-length cloak and has to bend forward 45 degrees to get on the horse, and nobody minds one bit!