You cannot find them naturally you have to spawn them in with a command.
Tamed Zombie Horse: /summon EntityHorse ~ ~ ~ {Type:3,Tame:1}
Untamed Zombie Horse: /summon EntityHorse ~ ~ ~ {Type:3}
Tamed Skeleton Horse: /summon EntityHorse ~ ~ ~ {Type:4,Tame:1}
Untamed Skeleton Horse: /summon EntityHorse ~ ~ ~ {Type:4}
hope this helped