Thestrals are certainly unlike any real horse: They’re far thinner than would seem healthy, with a black pelt stretched tight over their bones, giving them a skeletal appearance. Then there are their large wings that resemble a giant bat, protruding out of either side of the thestral’s back. However, while their bodies resemble horses — save the wings — their heads are more dragon-like. In the books, the head is described as reptilian, with fangs, empty white eyes, and black manes. The movies change this up a bit, giving their heads features more akin to a bird’s beak.
According to the official Wizarding World website (which features an explanation written by author J.K. Rowling for the defunct website Pottermore back in 2015) thestrals are native to the United Kingdom, but also live in parts of France, Spain, and Portugal; other places in the world have magical species that are different, but similar to thestrals. As for their habitat, we know that the herd at Hogwarts prefers the darkest parts of the Forbidden Forest. Plus, to make them even weirder, they’re carnivorous and will eat animals like birds — though Hagrid trained the Hogwarts herd not to go after the many owls delivering mail around the school. In “The Order of the Phoenix,” Harry discovered they’re also attracted to blood when several of them came to lick it off his sleeve.
To create the thestrals for the movies, the animators referenced mostly horses, birds, and bats, but also looked at footage of vultures, lions, and hyenas to depict a baby thestral tearing into a piece of meat. In a behind-the-scenes featurette, VFX Animation Supervisor Steve Rawlins explained that director David Yates added in the scene with Luna feeding the baby thestral to illustrate that, despite their undead appearance, thestrals are living creatures.