Do celestial bodies actually appear larger along the horizon?
No, it's an illusion. Probably the ancient one. Simple experiment you can do is, set grid on telescope, measure the angle subtended when moon is at horizon and when moon is atop. You will see angle subtended by moon is same, hence the size are same. It's merely an illusion.

For more details:
https://en.m.wikipedia.org/wiki/Moon_illusion