Quoted from my own blog:
IE *h₁eḱw-o- (Latin equus, Greek híppos) 'horse'1 is surely a Wanderwort which also spread to Sumerian anše 'donkey' and Hurrian eššǝ 'horse' (Luwian *aššu-/*azzu- 'horse' and Georgian aču/ačua 'interjection for calling horses' are loanwords from Indo-Iranian) and whose earliest form can be traced to Nakh-Daghestanian *ɦɨ[n]tʃwi (~ -e) 'horse' (NCED 211). It would have originated in the Pontic-Caspian steppes, where the animal was first domesticated around 4,000-3,500 BC2.
1 In fact, the IE word has been used by defenders of the so-called Kurgan theory as part of the evidence supporting those people were speakers of PIE (i.e. the proto-language of the IE family). See J.P. Mallory (1989): In Search of the Indo-Europeans. Language, Archaeology and Myth, p. 143-185.
2 The domesticated horse (Equus ferus caballus) is a different subspecies than the wild horse of the Eurasian steppes (Equus ferus ferus), also called tarpan (a Turkic word). There is also another horse subspecies native to the Eurasian steppes, the so-called Przewalski's horse (Equus ferus Przewalski's), which has never been domesticated.