Dumbed down, A Thestral is essentially a winged horse, related to several other horses including the Abraxan, Aethonan, Granian, and the common horse. Before we move along, it is extremely important that I mention the danger of these creatures, the Department for the Regulation and Control of Magical Creatures has rated the Thestral as XXXX, meaning only experienced wizards and witches should try to handle them. If you are unfamiliar with the classifications this department has set, I have listed them below.

XXXXX: Known wizard killer / impossible to train or domesticate.
XXXX: Dangerous / requires specialist knowledge / skilled wizard may handle.
XXX: Competent wizards should cope.
XX: Harmless / may be domesticated.
X: Boring.

Though the Thestral is not just a winged horse, as I described above, it is in fact much more than that. The Thestral has black hair and skin, with an extremely skeletal body, with wings resembling that of a bat. Thestrals do not have a well-received reputation, they are known as omens of misfortune and aggression by many wizards because they are visible only to those who have witnessed death at least once or due to their somewhat grim, gaunt and ghostly appearance.