Thestrals are called `winged horses´, and thats enough to convince me that they are horses! Here is the section on them, although I could find very little on them.

Likes: 

• Thestrals are carnivorous and therefore attracted to the smell of blood.


• They like living in a dark enviroment.


• They are actually very loyal to their friends and masters.

Dislikes:

• Since they are loyal to their masters, they dislike their master's enemy, and will even attack them.


• As they understand every word you say, like any human, they hate being insulted.

Thanks for reading!