Insect pests commonly infest stored horse feeds and feed stores and fortunately most do no real harm, though infested feed may be more prone to mould. The most common pest species are beetles and weevils as shown below:

All the above are 3mm-5mm in length and the females can lay hundreds of eggs so their population can expand rapidly under suitable conditions. They are cold intolerant and tend to die out in winter. Eggs are microscopic and the first signs of infestation may be holes in pellet feeds caused by beetles or drilled into grain by weevils. After incubation minute larvae hatch and feed on the interior of pellets and grains.

Feed and feed store hygiene is the first defense with attention to removing spilled feed from bins, shelves, and corners etc. and use of insect sprays being careful not to contaminate feed with the latter.  Control in stores and silos is by means of fumigation with e.g., Phostoxin which entails strict adherence to protocols for safe use and handling and observance of withholding periods. Such fumigants are highly toxic. If an infestation becomes troublesome advice from a licensed pest controller should be sought.

See also https://horsepower.com.au/further-information/there-are-bugs-in-my-horses-feed