A single Spine project can have multiple skeletons. Animations can be created synchronized, at runtime you'd start both animations at the same time. Each skeleton is rendered separately, so is either fully on top of or fully behind other skeletons. In the Spine editor you can drag skeletons to control their draw order.

Some runtimes, such as spine-unity, can render part of a skeleton. This can be used to render a single skeleton partially in front and partially behind another skeleton. Runtimes without this built-in can also do it by customizing the renderer.

For example, for a character on a horse where the character has one leg in front and one behind the horse, you'd draw the character skeleton but stop at the first slot behind the horse. Then you'd draw the horse skeleton. Then you'd draw the remaining character slots.

For the most flexibility you could use a single skeleton, giving you full control over the draw order. Skin bones can be used so bones don't have a performance impact when some parts are not visible (eg if the horse is not always shown).