It is called a neigh. A softer one could be called a 'whinny' or a 'nicker'
a neigh or whinny
Neigh or whinny
The most common noise a pony makes is a "neigh" or a "whinny" sound.
Neigh Whinny nicker
The sounds a horse makes are usually written as a "neigh" or a "whinny".
A neigh if it a loud full call that sounds like the horse is saying: neeeeeeiiiighhh!, a whinny if it a high pitched call that sounds like the horse is saying: whinnnnnny! and a nicker if it is a low repeated sound that sounds like the horse is laughing. The nicker is quieter than a whinny/neigh
neigh, whinny, cry, call, sound
there is the scream which is typical heard of weanlings who are calling for ther dam (mother) or of herd bound horses. But there is also the whinny/neigh which is a high pitched sound that drops in octives as it goes on.
A horse can make a load of sounds: Snort, grunt, whinny, neigh and nicker. Also the younger the horse the more high pitched neigh it makes.
Whinny. (A higher pitched neigh)
The sound a lamb makes is referred to as a "bleat".