Did anyone in 1857 really consider it “fun” to ride in a 1-horse open sleigh, in the dead of winter? Wouldn’t that type of vehicle be way too common to be thought of as fun? I think it’d be more like driving an '87 Yugo convertible in mid-winter. And oh yeah . . . only 1 horsepower.
Somebody told me that the song is about the 19th Century equivalent of drag racing. That sounds plausible to me.
I read a short story by Bayard Taylor about the Swedes going about in one-horse open sleighs not just in the dead of winter but under heavy snowfall. If you have to camp at night with the snow falling and winds howling, park the sleigh under a large tree and let the horse free (it can fend for itself.) The sleigh always contains some hay and there’s a big canvas blanket. You cover yourself completely under that blanket, seal the edges, take off your coat and crawl under it, lying in the hay. He said it was like sleeping in the most comfortable bed ever made.
I’ve always thought of it more as a Nineteenth Century version of “Night Moves”. Miss Fanny Bright supplies the fun.
Maybe the song means it sarcastically?
The original words were, “what sport it is to ride and sing …” I’m sure Miss Fanny Bright was a sport too!
The experience is being romanticized, that’s all. I do not doubt that there was a moment when the writer felt exhilarated, and that’s what makes it into the lyrics. Crossing over rocks, sliding sideways into trees, being pitched out of the sleigh don’t get mentioned on purpose.
Except it does, in a later verse:
The horse was lean and lank
Misfortune seemed his lot
He got into a drifted bank
And then we got upsot.
Oh, right, it was an accident. And I’m sure it’s also an accident that when you fell out of the sleigh, you just happened to fall right on top of Fanny.
We err when we apply modern standards to the pastimes of the past. In the era before automobiles and televisions, when trains were smoky, dirty, and loud, a carriage or sleigh was viewed differently.
Dr. Samuel Johnson, dictionary author and “arguably the most distinguished man of letters in English history,” famously said in 1777:
In its day, a carriage ride was regarded as one of the great pleasures of sophisticated people. Even as late as the 1860s:
from here.
One presumes the cold of a sleigh ride would be something that could be dealt with by big piles of blankets…and snuggling.
And how’d that last one work out for you, Mr. President?
Misfortune seemed his lot, too. 
In These Happy Golden Years, Laura Ingalls Wilder describes going for a sleigh ride with her future husband. Other couples were doing the same. They all seemed to be having fun.
Or your own.
You probably couldn’t get Fanny into the sleigh without telling her “how much fun it is to ride…”
It’s just an excuse, mind you, for a little hanky-panky. Then the horse breaks down and they’re stranded and have to keep warm and…
I was under the impression that those sleigh rides were a means for a young couple to be together under big, warm blankets. Often it was a double date, so you never knew who was playing grab ass with whom.
And then one of the men would put a handful of snow down the neck of his date, and there would be much screaming and laughter.
The drag race aspect is probably the theme of “Sleigh Ride.”
~VOW
This is addressed in a biography I have. The author says that you should forget romanticized notions of sleigh rides and gives an excerpt from a letter.
‘The sleigh would jolt, and I would receive a jolt from beneath. Then, it would lurch and I would hit my head. Left, right, front and back, I was assaulted from every direction’
OTOH, Mad King Ludwig of Bavaria really seemed to like sleigh rides. When suffering from insomnia (which was apparently often), he would go for night time sleigh rides.
A one horse open sleigh would be lots of fun rather than an enclosed stuffy carriage (have you ever been in one? they are designed for midgets and you wouldn’t get a decent view out) … think speedy convertible rather than slow family car. One horse is easier to drive, smaller turning circle and would have a lighter load so goes faster.
When you compare it to other forms of transport at the time it would have been nicer and also much more intimate.
I’ve always assumed that the song also meant that the weather was clear - so a bright clear night out would be pleasant with blankets.
I second Sailboat. People didn’t bathe very often in the winter before warm tap water and traveling in close quarters with groups of people could be unpleasant. Their clothing of wool was also not frequently cleaned. But I don’t think that the main reason for traveling by sleigh was to avoid crowds… It was just the family’s standard of transportation for relatively short distances.
The song references an outing just for the fun of it, I think. They heated bricks in the fireplace, wrapped them in quilts and kept them in the sleigh to keep their feet warm.
I am old enough to remember my grandparents’ tales of these days. They also went skijoring, skiing behind a horse.
There is a local story of a man where I grew up traveling forty miles with his horse and wagon to pick up supplies. A life-threatening snow storm came up and he got under a buffalo skin in the bed of the wagon to keep from freezing to death. Later when he looked out the horse had taken him all the way home.