Zephyros is a horse-like Immortal being who is the Olympian God of the West Wind. He walks the path of the Sun Chariot of Helios, and is one of the three horses that drives it, called the Fire Steeds.
In God of War series
God of War: Chains of Olympus
Zephyros was awakened by Kratos after Helios' disappearance, which allowed Morpheus to take control over the lands. After Kratos awakened him along with his brothers, the Horse Gods drove the Chariot of Helios right where the Sun God himself was being kept; in the Underworld.
God of War III
While it is not currently stated, the Horse God of the West Wind is supposed to have driven the Chariot of Helios through the sky during the battle against Kratos and Perses. Later on, the Chariot of the God of Sun was crushed and Helios himself killed, and the Fire Steeds with him.