The main body of the horse is two 1x4 boards, with 2x4 pieces sandwiched between them. The 2x4s are cut out to make the holes for the legs of the top of the horse to go into.

It's important to make the holes into which the legs fit bigger than the exact size of the 2x2. If the fit is too tight, the legs will stick when you insert or remove them. There's really not much down-side to the small amount of wobble that you get when the holes are loose.