It's probably not depicting an actual event, or even a specific nation. It fits within the "Vanishing Indian" genre of art that became popular among Euro-Americans in the early 20th century and still pops up from time to time. Edward Curtis' The Vanishing Race and James Earle Fraser's End of the Trail are two of the most famous examples of this genre. The painting in question has quite a few similarities with The Vanishing Race. In the Euro-American zeitgeist, Native Americas were dwindling inevitably toward extinction and artists like Curtis and Fraser were commemorating their passing in their respective media.

This could refer to a specific event, such as the 1878-9 Northern Cheyenne Exodus, in which starving Cheyenne left Indian Territory and tried to return to their Nebraska homelands in the dead of winter, or the Hunkpapa Lakotas' 1876 flight to Canada led by Sitting Bull, or it could just be a generic Plains painting of which there are thousands.

The first tribe that comes to my mind is the Comanche tribe. They were known for their exclusive use of the horse. If this is the case in the painting, I would say they are in single file so as not to lose each other in the snow storm depicted. Either this or they are riding single file to conceal their numbers, like Sand People.

Star Wars jokes aside, if you are interested in the Comanche or how a tribe used horses to their advantage, Empire of the Summer Moon by S.C. Gwynne is an excellent work.