Something is a "horse of another color" or a "horse of a different color" if it is entirely different than what was originally supposed. The term is often used to describe new information that causes a complete redirection in thinking.
Maria, in Shakespeare's Twelfth Night (Act 2, Scene 3) says, "My purpose is, indeed, a horse of that colour." She's not talking about horses at all, but how she plans to deceive Malvolio. If she had an entirely different purpose, it would be a horse of another color.