It all began in what is now North America (maybe) with the Hyracotherium, a small forest dweller of the early Eocene period approximately 55 million years ago. This little animal stood from 10 to 20 inches at the shoulder and looked more like a dog than a horse. This little critter had a short neck, an arched back, short snout, short legs and a long tail. Each front foot sported 4 toes while the rear feet had 3 toes. Hydracotherium walked on pads (like a dog) instead of hooves although each toe had a small "hoofie" instead of a claw.
    After about 5 million years there was a gradual, overlapping transition to Orohippus which was a very similar animal except that there are some changes in the teeth as the last premolar became more of a molar to give the animal more of a grinding type of teeth.
    Epihippus came along about 47 million years ago and continued the evolution of the teeth. There were now 5 molar type grinding cheek teeth.
    As the climate of North America begins to change at the end of the Eocene and the beginning of the Oligocene period toward a drier environment, we see more grasses and less forests. Our little creatures respond by growing a little larger and leggier and develop tougher teeth. About this time Mesohippus celer appears. It has 3 toes on both front and rear feet and is slightly taller at 24" to it's shoulder. This little animal is also beginning to look less like a dog and more like a horse. It is now  40 million years ago.
    At around 37 million years ago Miohippus assiniboiensis appears continuing to march toward larger animals with longer more horse-like faces.
    Once in the Miocene period, horse evolution shifts into high gear as we see the rise and fall of many offshoots from Miohippus. From our perspective the most important are the Kalobatippus at 25 million years ago, the Parahippus atabout 23 million years ago, and the Merychippus at around 17 million years ago. Throughout this time our little horse keeps getting larger and more horsey looking and begins to develop a larger, middle toe and begins to stand on it in tippy toe fashion.
    Then about 12 million years ago we see the rise of Dinohippus. Here we see a horse like creature that has begun to loose it's second and third toes. It is almost certainly the direct ancestor to modern day Equus. There are other varieties of horse like animals around but none are as numerous nor do they so closely resemble our modern horse.
   About 4 million years ago we arrive at Equus. The second and third toes have all but disappeared and this animal now stands about 13 hands. It is pony sized and there is no mistaking it for anything but a horse. Modern Equus still retains the genes for making side toes and occasionally, though rarely a foal will be born with fully formed side toes.
    During the first major glaciation of the Pliocene period about 2.6 million years ago, Equus migrated to what is now Europe and Asia and Africa and South America. There it branched off into what are todays asses, zebras, onagers and horses. 
    In the Pleistocene period that followed the majority of large mammals died out in North and South America. This mass extinction, which is still largely unexplained, claimed the horse along with other large mammals such as the saber toothed tiger.
    Below is a tree attempting to illustrate the evolution of the horse.

    The only members of Equus -- and of the entire family Equidae -- that survived to historic times were:

    Order Perissodactyla, Family Equidae, Genus Equus

• Equus burchelli: the Plains zebra of Africa, including "Grant's zebra", "Burchell's zebra", "Chapman's zebra", the half-striped Quagga, and other subspecies. The Plains zebra is what people usually think of as the "typical zebra", with rather wide vertical stripes, and thick horizontal stripes on the rump.
• Equus zebra: the Mountain zebra of South Africa. This is the little zebra with the dewlap and the gridiron pattern on its rump.
• Equus grevyi: Grevy's zebra, the most horse-like zebra. This is the big zebra with the very narrow vertical stripes and huge ears.
• Equus caballus, the true horse, which once had several subspecies.
• Equus hemionus: the desert-adapted onagers of Asia & the Mideast, including the kiang (formerly E. kiang).
• Equus asinus: the true asses & donkeys of northern Africa. (The African wild asses are sometimes called E. africanus.)
   

reference from: " Horse Evolution" by Kathleen Hunt
                           Florida Museum of Natural History Fossil Horse Cybermuseum