That's because they're truly wild. There's no such thing as a truly wild horse any more, unless you're talking about Przewalski's Horse. Those ones running around free? Those aren't "wild", they're "feral". If they were plants, they'd be called a "landrace". They're domesticated horses that went back to living independently of Man.

Anyway, the jackasses who say that stuff about zebras are 1) trying to apologize for the failure of some human populations to domesticate much of anything and 2) somehow think that domestication starts with adults, and happens in one generation. (It probably started with a combination of following and trying to control the herds they preyed upon, and keeping the young of any adults they killed and ate for to grow them and eat them when they got bigger. It takes just minimal foresight, not much different than "say, if we plant seeds here today, there will be something to eat when we camp here next year." Or rather, noticing that the place where you threw your peach pits is now growing peach trees, and thinking maybe you could do it on purpose with other plants.) It does, however, take effort, long-term planning, and consistency to domesticate anything, as it takes about 40-50 generations of careful selection to get something that looks to humans for its social and physical needs (see: Russian pet fox experiment). You just keep and breed the ones that are easiest to handle.

ANYTHING can be domesticated if you start with youngsters, and practice proper eugenics.