I'm assuming you are referring to the winged horse Pegasus from the Greek mythology.
In Greek mythology it is stated that Pegasus was born out of Medusa's neck when she was beheaded by Perseus, son of Danae. There are however a few variations as to how exactly this happened. Some say Pegasus was born directly out of her neck, while other stories describe how Pegasus was born out of the blood flowing from her neck.
Hope this helps.