At wave 20 (on hardcore, river), we had the mounted guys charge in, and due to the 2x health buff they recieve, the guy would only fall off after some serious gunfire, but afterwards his mount would charge in and 1 shot us.
I'm thinking that you should focus fire on the mount rather than the guy on it, though I'm not sure if they count as a single entity until they separate or not. Maybe you can stun the mounts with proxy smoke grenades?

