A horse riding exercise machine is not only compact in structure but also easy to be assembled and disassembled. When in use, a second N-shaped connecting rod and/or a return member are provided to achieve a labor-saving effect for exercise. Through a compact structure and the detachable connection of a bolt, when the horse riding exercise machine is not used, the bolt can be loosened so that a rear support base can be pushed toward a front support base to close up, thereby reducing the storage space to facilitate the storage.