Why was Gehrig called Iron Horse?

Because he established a record for the number of games played by a professional baseball player. He appeared in 2,130 consecutive games from 1925 to 1939.

Gehrig was known as the Iron Horse because he established a record for the number of consecutive games played by a professional baseball player, appearing in 2130 consecutive games from 1925 to 1939. His record was broken in 1995 by Cal Ripkin, Jr., of the Baltimore Orioles.