My horse has had a nasty cough for the last month, that appears to be just from allergies and/or the super dry windy weather. I took him to the vet and he doesn't have heaves or a respiratory infection. Are there any anti-cough supplements that actually help? It also can't contain MSM because that makes my horse absolutely lose his freaking mind. 

Finish First Pellets. It has a natural form of ventipulmen.  Will strengthen lungs.

I love and am a huge promoter for Air Power from Finish Line. It's all natural, priced extrememly well and helped my mare 100%. She had seasonal allergies and even bled when it was bad enough. When I get it out she gobbles it down, I can't put the syringe in her mouth fast enough. So that tells me it's working. It is super potent. A little goes a long way. (I got some on my  pants and felt it on my leg for hours) I woulnt'd give it every day unless your horse is that bad. Just when their allergies flair up or before a run.

I really like to give about 50cc of just plain old mustard. It helps SO much. But on all else, SuPer Wind and Breathe-Ez is awesome too. MVP's Airway EQ and Breath-O2 are also amazing.