During the setup process, SQL Server 2017 can pull down and install its own edition of CPython 3.5, the stock Python interpreter available from the Python.org website.

Review: SQL Server 2017 adds Python, graph processing and runs on Linux Integration of Python for data science, graph processing for NoSQL-like functionality, and it runs on Linux as well as Windows.

SQL Server 2017 thus joins the faster service-enabled update approach that's been seen of late with Windows 10, Office 365 ProPlus and even Windows Server 2016, which will start a faster update ...

It's not terribly difficult to connect your Horizon deployment to a database. Following the instructions here, you shouldn't find it difficult to set up and use SQL Server Express with Horizon either.