What is the name of the winged horse?

The story behind the answer

Pegasus is the famous winged horse of Greek myth, so it’s the only correct choice. In the legends, Pegasus sprang from the blood of Medusa when Perseus beheaded her (with Poseidon often named as his father). Later, the hero Bellerophon, using a golden bridle given by Athena, tamed Pegasus and rode him to defeat the fire-breathing Chimera. For his service, Pegasus was placed among the stars as the constellation Pegasus.

To avoid confusion: Zephyr is the gentle west wind (a god), Orion is a mighty hunter and constellation (not a horse), and Aetherion isn’t a classical mythic horse. Memory tip: “Pega-soars” — the horse that soars through the skies — and picture his wings on starry nights to recall the constellation link.