I would agree that for a first attempt this is very good. However there are a few simple things you can do (or not do) when you start out digital that will save you a lot of suffering down the road and see to it that you actually improve. The first and most important of these is to pretend the smudge tool does not exist. Many people, when first getting into digital work, are completely enamored by this tool because it allows them to blend colour and tone so easily, however it's no more refined than smearing your fingers on a pencil drawing instead of learning how to shade properly with the pencils. Using the smudge tool gives the work a fluffy and wobbly appearance, and this can really be seen in the pegasus's body and tail in particular. There are very few hard lines (the crest of the neck and top of the rump are the only real ones) to compliment the fluffy smudgy texture.
Instead of the smudge tool, use the different brush tools (I'd also stay away from the airbrush tool for similar reasons- it makes things fuzzy) medium to hard-edged brushes are best, and very the opacity constantly in order to "mix" tones and colours. You should also vary the brush size often.

There are a few technical points you should also keep in mind in general, like balancing the lights and darks. Right now all the darkest areas are at the back of the piece- the tail, outlining on the wings, and right leg. There is none of that darkness in the front. If the back leg was shadowed that much I would also expect for the chest or underside of the front leg to be shadowed a bit, perhaps also the throat. The choice to leave the background grey was an interesting one, but I think the piece might have more life if you'd kept that grey but used some white highlights within the form. It's sometimes interesting in photoshop to simply click Image>Adjustments>Auto Levels to see how far off you are from having an image that includes both black and white. Of course, many people have the reverse problem of using so much contrast and so few middle-tones that the work becomes insipid.

As far as the anatomy goes, the proportions are good overall. Everything seems to be about the right width and length. Some areas I'd watch out for are the musculature on the shoulder and rump, those can be tricky. I'd also suggest working on the general shape of the rump, I think it's a little chunkier than it needs to be in this piece. Perhaps look at and copy some skeletal and musculature diagrams, as the shoulder problem (lack of muscle and clear definition of where joints are) applied to both legs. Think of horse "arms" more in terms of human arms. The elbow (which you have shown, but a little high) of course corresponds to our elbow, then above that is the humerus- our upper arm but what we think of on a horse as the lower bone of the shoulder. The upper bone is the scapula- or shoulder blade. Going back down, beneath the elbow is the radius, our lower arm. On us it has two bones that allow us to twist our arms, but on a horse these bones have fused into one, making it so that a horse cannot meaningfully twist it, so it faces forward. What we think of as the horse's front knee would be our wrist, their lower leg would be our hand, and the remaining bones and hoof correspond to finger bones. The back leg likewise corresponds to the human leg. Thinking about it this way often will make it easier to comprehend and successfully draw animal anatomy, as we can sort of visualize the elements of the body a lot more clearly.
You should also think of the wings in terms of arms. Right now the core of the wing is bendy and formless, but look at a diagram like this: [link] And you will see that a bird wing is extreemily similar to a human arm too! On a creature such as a pegasus then, you're essentially giving it four arms, and where you place the wings therefore really matters, because you will have two shoulderblades to account for (if you wished the creature to be functional) So while it might be easy have the wings merge off of the horse's shoulder, it wouldn't actually work in reality. Where you draw the line is up to you, I just know that anatomical realism and functionality add to the fantasy for me, personally
Hope this helps!