The Da Yuan (commonly mis-pronounced as Dà Wǎn) horse is not one specific horse from the story but an entire breed of horses. During the heyday of the Han Dynasty 汉朝 (approx BC 140), Emperor Han Wu Di 汉武帝 got to know about the stout horses in the western frontier of Da Yuan. Da Yuan is a valley in Kyrgyzstan in today's map. Han Wu Di wanted to exchange 3000 of his golden horses for 3000 Da Yuan horses, but the King of Da Yuan refused and executed the ambassador from Han.
Obviously, Han Wu Di got mega-pissed and arranged for a massive invasion. The population of Da Yuan feared for their lives and murdered their own King to appease the Hans. The Hans then received their 3000 Da Yuan horses, but only 1000 survived the arduous journey back to Han Wu Di. Today, this horse is endangered and can only be found in the Turkmenistan and Russian regions.
To read more about the Da Yuan region and its geographical information, click here to go to its Wiki.