Not all horses are suitable for military use, and the Classical Greeks were well aware of this. They tended to select for particular characteristics depending on the role they intended for a horse. Race horses were very large, long, and sleek; workhorses were heavy and sturdy. What we can tell from both pictorial evidence and from the description of the ideal warhorse given in Xenophon's treatise On Horsemanship (c. 360 BC) is that warhorses tended to be relatively small, of balanced build, with a character both gentle (so it would obey) and brave (so it would face danger).
Xenophon describes the preferred size and shape of every single part of the animal, from hooves to nostrils. Needless to say, the ideal warhorse could not simply be captured in the wild. It had to be bred and raised properly to maximise its usefulness and value. Apparently, some wild horse populations exist in a symbiotic relationship with the human inhabitants of the Greek island of Skyros even to this day, spending some of the time working for farmers while roaming in the wild the rest of the year - but the great majority of horses in Greece, then as now, would have been privately owned and bred as status symbols, luxury items and tools. Some of these would be selectively bred and trained for war, others for racing, and others for farm work.
Now, the main factor that determined the scale of cavalry warfare in the ancient world was the cost of keeping horses. The expense of buying, feeding and training a horse was astronomical, and only the richest men in society could afford it. This was why both horse ownership and cavalry service were important symbols of status. In Classical Greece, when we're talking about cavalry, we're not talking about a unit of soldiers issued horses by the state; we're talking about a levy of rich citizens who brought their own horses to war (or, as at Sparta, offered up their horses for others to ride). The number of cavalrymen was limited to the number of men who could afford to own a warhorse.
The existence of state subsidies for cavalry service at Athens shows that this number was not considered high enough. The Athenian state offered loans for citizens to buy a warhorse, and allowances for fodder, to fill out the ranks of the cavalry. Each year the cavalry was reviewed and the horses were evaluated, with penalties issued for men whose mounts were in bad shape. It is not clear where the extra horses used by the subsidised cavalry were coming from; Athens was not horse breeding country, and some may have been imported from regions that were better known for it, like Boiotia, Thessaly or the Peloponnese.