Use "Video Live Wallpaper" apps to set any .mp4 file as your home screen.
Excellent for finding vertical versions specifically tailored for iPhone and Android lock screens. How to Set It Up Anime Burning Sky Live Wallpaper
Save a "Live Photo" version of the animation. Go to Settings > Wallpaper > Choose a New Wallpaper and select your Live Photo (note: this works best on the lock screen). Why This Style Works Use "Video Live Wallpaper" apps to set any
A great free resource for looped anime backgrounds. They have a specific category for landscapes where burning horizons are a common theme. Anime Burning Sky Live Wallpaper