There are a couple ways to handle this. I do give out experience to animals trained for war that are used in combats. It's 1/4 what the PCs get for the same encounter (PCs learn from eachother's actions, animals not so much) so they don't level a whole lot.
Second, when the fighter's war horse finally got killed (took quite a while), he took great care when buying another one. The whole party turned out to help. The rogue used his impressive appraise skill to identify the most valuable horses, the cleric talked with the animals to find one that fit the fighter's temperament, druid was very specific in commune with nature to determine the strongest & most durable horses, and the bard negotiated. The main thing the fighter did was pay!
The new horse, Biggern, (who responded to the cleric's question of "who are you?" with "I'm bigger'n you." ) has exceptional stats and a few extra HD. (The dice loved this horse. 4d6dl resulted in 18,17,16,16,12,11,10) He's a monster.
The same rigamarole was performed when the cleric bought a new wardog.