none of those things existed in North America prior to contact with Europe! Sheep wool (Churra to be particular) comes with the Spanish, and is only introduced to the Navajo via the Pueblo people in the 1600s as they moved north post revolting against the Spanish. Horses likewise weren't on the North American continent until introduction by the Spanish, the only wild horse species having been hunted to extinction with the arrival of humans, and attestable only in the fossil record. So both the material this object is made from, and the purpose it served were European in origin.
But what about the design? Surely that must be authentic Navajo from 5000 years ago? Nope! Prior to the late 1800s, Navajo blankets were mostly just simple striped patterns. It was only with the importation of new dyes and pre-dyed wool that some of the more exotic eye dazzling patterns became possible. At the same time competition from other parts of the world started forcing innovations of design, and imitations. Take this example:
Great piece of Navajo art, right? It's actually an Azerbaijani Kilim (Carpet). The iconic designs that people associate with the Southwest, that have been part of huge fights about cultural appropriation by a bunch of idiot white people, do not come from the Southwest. I mean this is even putting aside the fact that the Navajo were relocated so the regions they now occupy are not their ancestral lands. But this is how actual histories totally washed over and forgotten by both sides of the stupid debates. Before the final push to drive indigenous people into the reservations, they had centuries of interactions with Europeans. They evolved, adapted with, and resisted the settler societies that increasingly became belligerent and eventually dominated them. It wasn't the peaceful stupid Eloi getting eaten by the Morlocks.