In Finnish mythology first horse was called Iku-Tihku. Iku-Tihku was created by Hiisi's. Troll-like figures who lived inside mountains. In shamanistic world view of ancient Finns world was made from three levels; Ylinen (upper-world), Keskinen (middle-world) and Alinen (underworld). Highest of the gods such Ukko, Bear and Ilmatar lived in the Ylinen. Keskinen was home of the humans, plants, animals, spirits, magical creatures and gods and goddesses who were related to nature such Tapio and Mielikki. Alinen was the land of the death, also home of earth based magical spirit creatures like trolls and goblins. In Alinen there also lived spirits of the ancestors. Alinen was also home of the evil and negative spirits like pain, sorrow and jealousy. Some animals were also believed to be originated from Alinen. Most famous creatures of Alinen were horses and wolves.
Iku-Tihku was created from ice and fire. This horse was a shamanistic traveler. Iku-Tihku could travel between these three worlds. He could only visit Keskinen in winter time. Because he was made from ice he would melt in any other season. Some myths tell that Iku-Tihku created all the other horses and some myths tell that hiisi's created all the other horses using Iku-Tihku as their model. All the other horses, their heads were made of stone, hoofs from rocks and legs from iron.
There is also horse goddess in Finnish mythology. Her name is Tahvatar. Tahvatar is the Emuu of the horses (first horse spirit /mother of all horses). There isn't much information about Tahvatar to be found. She is quite similar to the Celtic horse goddess Epona. Tahvatar was a shapeshifter goddess and could turn herself as a horse.
When spring arrived and horses were let outside people said prayers to Tahvatar to protect the horses. Before industrialism humans and horses had very special relationship. Horses were essential help in farming and with long distance travels.