I tried going to the move reminder in White 2 to have my level 1 ponyta learn megahorn, but he says there isn't anything to remember. Do I have to teach it later as a rapidash or in an older, previous game?
No. There is no way to do it in any generation. Sorry.
However, it's evolution Rapidash learns Mega Horn at level 1. So you would take in to the Move Relearner at the PWT south of Driftveil City, give her a Heart Scale (which can be found around Unova) and she will teach Rapidash Megahorn.
Hope this helps! :)