hey Laura,
The horse’s anatomy isn’t too far off, but the shoulders and torso need some work. I’d suggest taking a look on google for horses that are rearing or bucking if you don’t have access to any horse references at home. Also, do a search for Sam Savitt art - he has done alot of western and other horse illustrations and maybe his work can give you some pointers on how to improve your horse anatomy. If you can check out his book, Draw Horses with Sam Savitt, even better! 
To give you some suggestions as far as improving your flying horse’s line of action, I did a couple of quick sketches to give you an example (see below). One referencing a rearing horse (top sketch), the other (bottom sketch) referencing a bucking horse. The wee image on the left with the red line shows the line of action that I was using to help me make the horse image interesting. I did one with the small wings like you have a la Babylonian style, and one with more length - see if you can find a reference of a bird with outstretched wings…Your horse’s wings need some fixing, too. (Mine aren’t the best either since I didn’t use reference, but they give you an idea of what I’m talking about
)
One thing to consider as well, if your characters were in silhouette, would they still read well? Would the flying horse as a silhouette still give your viewer enough information that they would recognize it as a flying horse that is desperately leaping off the ground, straining those wings to get airborne and away from its captors?
Regarding the light, maybe if you increase the angle of the light so that it appears to be closer to 11 am, say as opposed to 10 am as it is now (just guessing…could be late afternoon as well, heh) so that it is not directly above them, but almost, then the light would rim the horse and also not overshadow the two people. Just a thought. 
t