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There are many different tranistional species which are thought to be the ancestors of the modern horse.  I will talk about four of the most common.  Scientists have come to this conclusion by looking at homologus structures, comparing the changes and developments in them. For example, when one studies the leg and toe bones of all these species and the modern horse, one can see that there is a great possiblility that these were direct ancestors of the horse.
http://web.ukonline.co.uk/webwise/spinneret/genes/horses.gif
Hyracotherium (Eohippus)
Mesohippus
Merychippus
Pliohippus
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