In what part of the world did the first horses evolve?

Small dog sized animals ("Eohippus") appeared in North American grasslands around 55 MYA. They then headed to Siberia via the Bering land bridge and from there across Asia, to Europe, the Middle East and Africa.

The horse belongs to the order Perissodactyla (odd-toed ungulates), the members of which all share hooved feet and an odd number of toes on each foot, as well as mobile upper lips and a similar tooth structure. This means that horses share a common ancestry with tapirs and rhinoceroses.

https://en.wikipedia.org/wiki/Evolution_of_the_horse

Horses became extinct in North America some 10,000 years ago and had to be reintroduced in the 15th century C.E.

Note: MYA - Million Years Ago