A horse walks into a bar...

and orders a beer.

As the bartender serves him, he looks at the horse and says "hey, you look a little long in the face. Do you think you might be depressed?"

The horse ponders for a second, scratches his chin, and says "I don't think I am" - and promptly disappears.

See, this is a joke about Rene Descartes' famous statement, "I think, therefore I am." I could have mentioned this at the start of the joke, but that would be putting Descartes before the horse.