Youtube is awash with videos of young and adolescent goats climbing on things, including other farm animals. Obviously temperament will come with an individual animal, but the videos the creater the goat is climbing on never really seems to mind. I'm probably a victim of a limited sample size, but is this typical behavior in farm animals, or is it (goat climbing tolerance) something you have to train for?
Goats are obnoxious about climbing on things. If you google horse bucking goats you will find several videos where the horse is not happy about it.
What happens is the annoy goat tries to climb on the horse (or cow, or car, or tree, etc) and it either works or not. If not the goat tries again and again and again... At some point the horse (etc, all) either gets tired of bucking goat off, and just lets it happen, or the goat gives up, goats do not give up easily.
So the answer to your question is this "something you have to train for?" = When left together the goats train the farm animals. The only people interaction is leaving goats unsupervised in with horses, cows, etc.
If goats and horses or cows should be left alone together is a different question, with lots of variables, and no, one right answer.