It would appear that the Pony Express sets were sold by IVES from the mid 1920s right up through 1932. This set always consisted of the cheapest, smallest IVES clockwork locomotive with two 50 series passenger cars. Most of these sets used the No. 0 or "ought" Loco, which wasn't even cataloged through most of these years. Although we've never been able to find any documentation for these sets,  we believe the Pony Express sets were made as promotionals to get kids started with IVES trains.

 Circa 1925 Pony Express Set Box

Circa 1929-30 - No. 51 passenger car used in Pony Express Sets.

The example above is from 1930 - The box is marked 30X and the set contains a No. 10 windup.

Circa 1929-31 - This is the box for the late Pony Express. The box pictured above is a navy blue but we've also seen it in brown. Note the picture of the side label below showing the number 1581. This is a 1931 number and contained a No. 1501 Locomotive / 1502 tender and three 1504 passenger cars

Another late example of a Pony Express Set above and below. The set No. 1590 is right out of the 1932 catalog.