It's possible this was The Castle of Iron by L. Sprague de Camp and Fletcher Pratt or the collection The Compleat Enchanter (1977) that contained it.
The book cover depicts a hippogriff, not a horse, but it is a winged steed.
In the story Harold Shea, his wife Belphebe, some co-workers and a cop are dragged from the contemporary U.S. into a world based on Orlando Furioso by a former colleague Reed Chalmers. Note that the world is specifically based on Orlando Furioso, as that was the system of symbolic logic used to access it.
I don't remember any of the heroes dying, but Belphebe is struck nearly fatally with an arrow that finally helps her regain her memory.
The Wikipedia page for Orlando Furioso lists The Castle of Iron as one of only a handful of popular fiction works based on it, and none of the others seem a better match.