This diagram shows the horse changing during the 40 millions year period.
Overall, this linear and natural process of horse evolution includes 4 stages from Eohippus to modern horse.
The first and previously mentioned stage of the creature’s evolution is Eohippus, which lived on Earth 40 million years ago. Its feature is keyed in small size and short tail, furthermore the horse isn’t characterized by hair on the neck. The other noticeable feature is a paw that looks more similar to a person’s, than to the horse. It has 4 long toes and something like an unprogressed wrist. Then the Eohippus turned to Mesohippus, became a bit bigger, got a longer tail and a small thin mane. Noticeably, one finger disappeared from the paw, while the rest of the toes were thicker. After 15 millions of evolution, the next stage called Merychippus obtained some noticeable differences, namely a thicker mane, bigger size and bigger head, the tail became even thicker and longer, whereas the toes increased their size, in addition the hoofs which were tiny in Mesohippus body, came bigger and longer, similarly to toes. Finally, the modern horse with no fingers and large, hard hoof on thick legs which contain 3 bones instead of only one. It has a luxurious long hoof, increased size and a more muscular body. Noticeably, hair has spread to the tail too.
To conclude, the most noticeable changes in the body build of the horse over the entire 40 million period happened with body hair, number of bones and the size.