Ancient Cavalry represents highly trained mounted men, and thus receives an additional Hit Point on its Health Bar. Like other fast units, Ancient Cavalry move quickly and will withdraw from combat if they are losing (unless fighting another fast unit).
Given sufficient training and motivation, as well as better weapons and heavier armor, mounted troops can become accomplished cavalry. By the time of Alexander the Great, both the Persians and Macedonians were fielding large bodies of heavily-armed and armored cavalry. Cavalrymen of this time typically carried heavy spears, and some had round shields. Alexander, noting the success of barbarian cavalry, introduced mounted bowmen and javelineers into his ranks. The Athenians, in fact, were known to employ Scythian mercenaries as mounted archers.