They shoot (tame) ones too.
Wunderwood, a David Ellsworth horse prepping for the Melbourne Cup a couple years ago was put down in similar fashion.
I was at Mornington that day. No one really explained why they had to use the gun, but I guess I didn't care enough to ask more questions. Maybe they were lying.
http://www.thetimes.co.za/PrintEditi...aspx?id=794185