There are a couple of mentions of 'cavalry' in the Sil:
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Fingolfin and Fingon his son held Hithlum, and the most part of Fingolfin's folk dwelt in Mithrim about the shores of the great lake; to Fingon was assigned Dor-lomin, that lay to the west of the Mountains of Mithrim. But their chief fortress was at Eithel Sirion in the east of Ered Wethrin, whence they kept watch upon Ard-galen; and their cavalry rode upon that plain even to the shadow of Thangorodrim, for from few their horses had increased swiftly, and the grass of Ard-galen was rich and green. Of those horses many of the sires came from Valinor, and they were given to Fingolfin by Maedhros in atonement of his losses, for they had been carried by ship to Losgar.
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Between the arms of Gelion was the ward of Maglor, and here in one place the hills failed altogether; there it was that the Orcs came into East Beleriand before the Third Battle. Therefore the Noldor held strength of cavalry in the plains at that place; and the people of Caranthir fortified the mountains to the east of Maglor's Gap
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So, there was 'cavalry', but are we talking heavy cavalry, with heavily armoured 'knights' replete with lances, or light cavalry used for skirmishing & hit & run raids? And was this cavalry a major part of their fighting force?