A filly is a female horse, specifically one which has not reached sexual maturity. This usually means it is under 24 months of age. After it reaches maturity it is known as a mare. Most horse owners, however, agree that "filly" means a female horse under the age of 4 years old, while "mare" is for a physically mature female horse, which is age 4 or above.
In thoroughbred horse racing, the definitions of "filly" and "mare" are slightly different. In this context, female horses are not classified as "mares" until they are five-year-olds—more precisely, on the fifth January 1 (for horses born in the Northern Hemisphere) or August 1 (for horses born in the Southern Hemisphere) after their actual date of birth. Harness racing sets the cut off age for "mares" as four years.
The equivalent male is a colt. When horses of either sex are very young, they can also be referred to as foals.