A foal is the name for a baby horse, it is Either sex.
A filly is a baby female horse, and is a filly for 2 years. Then it is called a mare. Some wait to call them mares until they have become pregnant or reach the age of 4 years old.
A colt is a baby male horse, and stays a colt until 2 years old.
Some wait to call them stallions until they have sired a foal or until the age of 4 years old.
A gelding is a male horse that has been castrated.