I'm pretty sure that ponies are called the same as horses. A female pony would be a mare, and a male would be a stallion (if he has testicles) or a gelding (if the testicles have been removed).
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A Pony can be male or female.
Answer2:
To add to the correct answer above. The term pony is simply a height classification for a horse that stands 14.2 hands or lower. It can be either gender as stated above.
Foal is the name used if the sex is unknown. Filly for a female and Colt for a male.