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Random observation: this may be the first time we actually see a pony wearing a horseshoe (but then throughout the rest of the ep, whenever Clyde’s hooves are visible, there’s nothing there).

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Fireheart 1945

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I’ve had a theory for a while now. Maybe ponies do wear nail-on horseshoes, but they have some sort of invisibility paint on them because, though necessary, they might be considered unstylish to the eye. Maybe the paint/spell wore off or malfunctioned for a moment, hence we saw it in the episode.
Zebasiz
Bronze Bit -
Friendly Griffon - For helping others attend the fifth anniversary party
Friendship, Art, and Magic (2017) - Celebrated Derpibooru's five year anniversary with friends.
A Perfectly Normal Pony - <Zeb> That's why yer female partner can use a trapon
Magnificent Metadata Maniac - #1 Assistant
Artist -

@aloccin  
True~  
I was about to say something about the “unluckiness” not hurting him. But then I remembered the cactus from the episode. Yeah, it would be his luck to step on the one horseshoe sitting on the ground with nails in it.
aloccin

@Zebasiz  
it could have been a shoe that was lying about with the nails going up and when he stepped on it the nails went into the frog of his foot  
that would even explain why he’s extra clumsy, as the frog is very sensitive
Zebasiz
Bronze Bit -
Friendly Griffon - For helping others attend the fifth anniversary party
Friendship, Art, and Magic (2017) - Celebrated Derpibooru's five year anniversary with friends.
A Perfectly Normal Pony - <Zeb> That's why yer female partner can use a trapon
Magnificent Metadata Maniac - #1 Assistant
Artist -

Maybe it’s not actually supposed to be there, he just got it accidently stuck to his hoof. Sorta like if you had gum on your show and now have a piece of paper stuck to it. Only in this case it’s a horseshoe and either he can’t get it off. Or he DOES remove it, but he keeps accidently getting another one stuck to his hoof.
 
I like the second theory, goes more with the unlucky thing he was feeling.