Tobefair, a seven-year-old gelding, has won his last seven races.
He was gifted as a colt to Michael Cole three years ago, in return for looking after two fillies on his farm.
Unable to afford the training costs on his own, he decided to offer 50% of the ownership to people he knew through his local pub, the Cresselly Arms at Cresswell Quay.
The syndicate grew to 17 members but none except Mr Cole had owned a racehorse before.
They said they were amazed when Tobefair started winning races and never dreamed he would make it to Cheltenham.
The festival runs from Tuesday to Friday and culminates in the showpiece contest, the Gold Cup.
Mr Cole said: "There's a lot of these big people now, they've got 40, 50, 60 horses, and it doesn't mean anything. But it means something to us."
Syndicate member Andy Pannell described the experience as "total exhilaration", adding: "We were stood on the steps at Newbury and I thought I was going to have a heart attack. My heart was pounding, thumping."
This is also a first appearance at the Cheltenham Festival for Tobefair's trainers Debra and Paul Hamer's, whose yard is at Nantycaws near Carmarthen.
At least two bus loads of supporters will be travelling from the Cresselly Arms to Cheltenham for Tobefair's race, the Pertemps Final Handicap Hurdle, on Thursday.
But syndicate member Jennifer Cole said they have only one real wish: "Win or lose, just get him round the track and bring the boy home."
A racehorse owned by a syndicate from Pembrokeshire is a favourite to win at this year's Cheltenham Festival.