They have steam engines to pull trains and sky scrapers in Manehattan but use candles to light with and fireflies in lanterns. They must have steel mills to make steel for rails and beams for building. If they have steam engines, internal combustion engines aren't too far behind. And they don't seem to have telegraph or telephones. Seems to be an odd mix.
Because technology is introduced only where the plot absolutely requires it. This has resulted in some truly bizarre (and anachronistic) tech seen on the show.
Lauran Faust (creator of FiM) spoke to this specific issue in an interview with Equestria Daily
Q. The ponies are definitely the heart of the show, yet they occupy a world that is rich with mythology and fantasy while still sporting a variety of modern technology. What was the creative strategy behind constructing the realm of FiM's Equestria? How did the team approach this balance between mythological fantasy and modern tech?
Faust : I always wanted the default technology of the show to be a bit medieval in nature; but since this is a whimsical, non-serious show, I felt there was plenty of wiggle room. I think ultimately it was just my personal comfort level in each individual story. If it screwed up the story to get too technical about how primitive the technology was, it wasn’t worth it. So, if we needed cameras, I just wanted those cameras to be relatively workable to a creature with no fingers. And if we absolutely positively HAD to have an electrical appliance (which we often did), I just told myself that it was enchanted by some magical unicorn mechanic at some point. However, I insisted that such an attitude was to be considered only as a last creative resort - don’t use a light switch when you could use a candle, just because you’re feeling lazy. Don’t draw a hoof unnaturally and awkwardly wrapped around an umbrella because you don’t feel like thinking about it a little more. Overall, though, it was definitely not a strict approach - and it’s hardly consistent. Humor and ease of storytelling took precedence over technicality.