Pegasus was the steed of the demigod Perseus who became the Zombie Warlord after centuries trying to complete one of the Sentinel trials. When the Chaos team arrived in Delphi, Pegasus saved them from zombies and helped them traveling to the Center of the World. Pegasus came to their rescue by killing zombies everytime they used the Pegasus Strike.
After the Chaos team completed the trial and reached Mount Olympus, the Zombie Warlord attacked Pegasus and corrupted him with Prima Materia. Now corrupted, Pegasus repeatedly attacked the team but they managed to subdue the horse. When he saw it failed to kill the team, the Zombie Warlord killed Pegasus.