Pegasus, known as the white horse with wings is also known as the "horse of the prophets" transporting such dignitaries as Abraham and Muhammed.
Islam has a tale of the Prophet Muhammed being transported from the house in Mecca to the house in Jerusalem on the back of a white horse. This is taken from commentary on Surah 17:1 - The Journey by Night.
From Wikipedia on Al-Buraq:
Al-Burāq (Arabic: البُراق al-Burāq "lightning") is a mythological steed, described as a creature from the heavens which transported the prophets. The most commonly told story is how in the 7th century, Al-Buraq carried the Islamic prophet Muhammad from Mecca to Jerusalem and back during the Isra and Mi'raj or "Night Journey", which is the title of one of the chapters (sura), Al-Isra, of the Quran.The Wikipedia article states Muhammed went to a Mosque in Jerusalem. This is incorrect. It is referring to the Temple in Jerusalem, not a mosque. "Al-Masjid-al-Aqsa" in Jerusalem, the neighbourhood whereof We have blessed" is the House or Temple on the Temple Mount.
Another description of the Buraq:
Then he [Gabriel] brought the Buraq, handsome-faced and bridled, a tall, white beast, bigger than the donkey but smaller than the mule. He could place his hooves at the farthest boundary of his gaze. He had long ears. Whenever he faced a mountain his hind legs would extend, and whenever he went downhill his front legs would extend. He had two wings on his thighs which lent strength to his legs.
He bucked when Muhammad came to mount him. The angel Jibril (Gabriel) put his hand on his mane and said: "Are you not ashamed, O Buraq? By Allah, no-one has ridden you in all creation more dear to Allah than he is." Hearing this he was so ashamed that he sweated until he became soaked, and he stood still so that the Prophet mounted him.
According to Islam, the Night Journey took place 10 years after Muhammad became a prophet, during the 7th century. Muhammad had been in his home city of Mecca, at his cousin's home (the house of Ummu Hani' binti Abu Talib). Afterwards, Prophet Muhammad went to the Masjid al-Haram. While he was resting at the Kaaba, the angel Jibril (Gabriel) appeared to him followed by the Buraq. Muhammad mounted the Buraq, and in the company of Gabriel, they traveled to the "farthest mosque".
The Buraq was also said to transport Abraham (Ibrahim) when he visited his wife Hagar and son Ishmael. According to tradition, Abraham lived with one wife in Syria, but the Buraq would transport him in the morning to Mecca to see his family there, and take him back in the evening to his Syrian wife.
Jesus Christ comes back on a white horse (Rev 19:11) and the saints who come down from heaven (Rev 19:14) were also sat on white horses. Pegasus comes back with our Lord and Saviour sat on him followed by an army of white horses.