Regardless of the mammal being fed, protein is required for cell growth, maintenance, and repair, in muscles, bones, blood, skin, hair, and hooves. The building blocks of proteins are amino acids. A horse's diet must provide approximately half of the required amino acids; his body manufactures the other half.
Insufficient protein can lead to poor growth, poor performance, insufficient muscle development, and a lack of appetite. Mares need extra protein during the last trimester to ensure proper development of the fetus and healthy nursing. If a horse is slow to shed out his winter coat, a little extra protein can help the new hair grow in more quickly.
On the other hand, too much protein can be dangerous. It can lead to kidney damage and eventually toxic levels of the by-products of protein digestion. If too much protein is fed to young horses, their growth rate may lead to contracted tendons, bone malformation, and inflammation of the cartilage and bone. Too much protein can make a horse "hot" or overly energetic and hard to handle.
Because protein produces heat when digested, it also literally warms a horse and can help maintain body temperature in the winter. For the same reason, protein can be a poor choice of feed in the summertime.
All of the common feeds used for horses provide some protein. Soybeans and legume hay provide the highest concentration of protein; they should be fed only to horses with high-level needs for protein.