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The Cavalry is the first mounted unit available.
Men have been taming and riding horses for millennia, beginning with the tribesmen of the Asian plains. The value of the horse in combat was quickly realized, as the mounted warrior coming on at a gallop had a dramatic effect on the resolve of those in his path. Mounted warriors, known as Cavalry, were not only useful in battle as shock troops, but could follow up a victory by pursuing the losers and finishing the rout. The horse gave Cavalry power, imposing size, and speed. Nathan Bedford Forrest, a Confederate general, is credited with saying that victory usually went to the "fustest with the mostest," and usually the Cavalry were first.
Wikipedia states that Nathan Bedford Forrest did not say that quote.