See how often they participate in the script: HERE.
Character Story: Link’s strong and loyal stead, she carries him to all of his destinations. Link is able to call her to his side at any point by blowing on the Horseshoe Grass and playing Epona’s Song.
Race Story: Animals appear all throughout Hyrule and are often often helpful in their own ways, either directly or through subtle advice. Link can talk to them when he is in his wolf form.