From what I have just read you can find the pygmy seahorse off the coast of Bermuda, the Bahamas and the Gulf of Mexico. They live mostly in tropical waters.
Of course, they aren't going to be quite so sparkly as this one. :)
I've created a bracelet around this one that I will share in the near future, but for now, thought it would be fun to see and appreciate this sweet and sparkly little sea horse.