In general, a member of the cavalry was more important than a member of the infantry, for example. Cavalry could play key roles by appearing in battle suddenly and thereby create terror among enemy ranks. Their utility was based on their mobility which also allowed them to pursue fleeing enemies and attack vulnerable targets. Furthermore, it wasn’t very easy to be a skilled cavalryman. In the American Civil War, it was estimated to take two to three years to properly train a cavalry regiment. Since not only were these units expensive to raise but also expensive to upkeep, this meant that the cavalry were a far more exclusive part of the army.

Some sources where you can read more:

Some more on American cavalry: https://www.battlefields.org/learn/articles/here-comes-cavalry

Cavalry training around the WWI period: https://www.worldwar1centennial.org/index.php/brookeusa-training-for-war/4902-brookeusa-training-the-cavalry.html