although I won't argue the first two answers here. As a Englishman who uses this phrase often it is used to describe that you heard it first hand (from the person it happened to) NOT second hand. for example : your friend told you he enjoyed the movie he went to see. NOT your friends girlfriend told you that your friend enjoyed the movie he went to see. I hope this explains

Origin In horse racing circles tips on which horse is a likely winner circulate amongst punters. The most trusted authorities are considered to be those in closest touch with the recent form of the horse, i.e. stable lads, trainers etc. The notional 'from the horse's mouth' is supposed to indicate one step better than even that inner circle, i.e. the horse itself. It is a 20th century phrase. The earliest printed version I can find of it is from the USA and clearly indicates the horseracing context - in the Manitoba Morning Free Press, January 1913: "I got a tip yesterday, and if it wasn't straight from the horse's mouth it was jolly well the next thing to it."

From the highest authority.