It is very difficult to determine when horses were first domesticated, but studies at the University of Exeter are attempting to narrow it down.  "To date, prehistorians do not know with any precision where or when horse domestication first arose."  They think if they can identify when people began milking horses they can establish credible dates.  After all, who would try to milk a wild horse?  They can determine the date by examining fat residue in pottery from archeological digs.