Horses do not have wings.

A flying horse like Pegasus is probably purely wishful thinking. I doubt anyone thought they saw one, they probably just wanted to. The legends of Pegasus and other flying horses come from a time when the fastest way to travel on land was a horse, and there was no way for humans to fly. I can tell you that flying horses don’t exist because, we’re talking about whether something is physically possible. Physics and anatomy tell us that a horse with wings would not have enough power-to-weight ratio and would not be aerodynamic.

It’s not physically impossible for a horse to have wings, I suppose, but big useless wings are extremely unlikely to evolve. Can horses with wings exist? Well it’s extremely unlikely, but not impossible. Can horses fly? Nope. Can you see the difference between whether something exists and whether it works?

I took this answer from our database and I recommend you to read it on this link.