There was no reason for him to believe that the pony would help him. So he was just basically playing with a toy that he made himself and then the toy became real, Velveteen-Rabbit-style. Unless there's some kind of tradition of making ponies out of mud and treating them as if they're real, and it does not imply that there is.
Message
Treat inanimate objects with respect and the forces of nature will give you magical powers.
