Every horse in the game has stats split into four sections - Strength, Speed, Stamina and Pull - each with a star rating out of five. There is a fifth field that indicates the horse's temperament, too.
Strength - determines the size of your steed's HP pool
Speed - How fast you can move around
Stamina - How long your horse can gallop
Pull - How well your horse can pull heavy loads once you've equipped a harness
With these stats in mind, make sure to choose a horse that suits your needs.
If you're going to be engaging in lots of mounted combat, look for good strength and stamina. Long journeys require good stamina and speed, and for those of you who want to trundle around with your fabulous Zonai creations in tow, it's all about the Pull rating.