Ironhorse is right... horsegear. More specifically, it is a "gag swivel" from the "gag chain" on a horse's bridle. We are sure that that's the correct identification, because the parts are shown in diagrams in 1890s-&-later horseharness mail-order catalogs. See the scans below. They cannot be accurately dated, because they are still being made and sold today. See the shiny new one for sale on the internet in the photo below. However, since most Americans had stopped using horses for personal transportation by the 1940s, your find is statistically most likely to be from the late-1800s/early-1900s.