Funny enough, they are not. They are from North America originally, but went extinct about 12,000 years ago when humans started hunting them. They only came to Europe about one to three million years ago.
https://www.uaf.edu/news/study-sheds-light-on-ancient-horse-migrations-climate-change.php
https://awionline.org/content/wild-horses-native-north-american-wildlife