With the exception of a handful of scenes, the entire series is told from Harry's point of view. Even in the rare circumstances where he's viewing another's memories, he sees it through his own eyes.
There is no way of knowing what any of the other characters knew or suspected, outside of what they shared with Harry.
In the case of Moody, if he suspected -- and he might have, but his areas of expertise don't seem to have been quite so esoteric -- he would likely have been disinclined to share the fact widely, being a cautious man, and indeed he may not even have been believed, being seen by many as a deeply paranoid man.
On the flip side, it may well have been more widely suspected at least among the inner circle of Death Eaters (see R.A.B.). Voldemort had to get his knowledge in the first place, and used his followers as repositories for some of the horcruxes. Dangerous knowledge, best to pretend not to have it; Voldemort was dangerous enough without crossing him when you knew he couldn't die.