Have you ever been to an actual 'dog and pony show'?

Not the kind in your photo.

I have been to quite a few agricultural shows and enjoyed watching working dog and obedience trials,
as well as all the equestrian events.
When these animals are well trained they love their work.

Yes, it was called the Ringling Brothers Circus

I have attended horse shows and working dog demonstrations but they were not at the same time.  

I've seen one or two. They aren't exactly as you have demostrated but they have been called that.
The pony got nominated for best supporting actor.  The dog was a bark away from getting best of show.  ;) :) 

I'm wondering if that's anything like the horse and donkey show I saw in Tijuana?