Winged horses are a fantasy staple - and who wouldn't want to ride one?
They are, of course, anatomically impossible - but that shouldn't stop fantasy writers.
However, there's another very big problem with a winged horse - the only place to put the wings is where the rider sits.
If you sit behind the wings, your weight will end up on the animal's groin. If you sit in front, you'll be on the neck. Some artists get around this by putting the wings forward on the shoulders, but it's most common to see Pegasus or his kin drawn with the rider hooking their legs around the wings.
Which, of course, won't work either - and in fact is probably the worst solution, as it would restrict the poor guy's ability to flap his wings) I'd suggest drawing the wings slightly forward and down and putting the rider behind them, then giving the horse a bit of a longer back so that the rider is not on the groin or but. Horses have a joint in their spine in front of the hind quarters that makes for a weak point.
Also, really, give your pegasus rider some kind of harness instead of thinking he can cling on with his knees. It's hard enough to do that with no saddle when your mount isn't flying!
This statue of Pegasus is located on the roof of the Poznan Opera House. Image source: Radomil via Wikimedia Commons).