A colt is a male horse that's younger than four years old. When your colt is older than four, you can call him a stallion, gelding, or simply a horse.
There are many terms for horses, depending what age they are and whether they're male or female. While colt can only refer to a young male, and a female of a similar age would be called a filly, you can talk about a horse of either sex that's between one and two years old as a yearling. The word colt comes directly from Old English, and it originally meant "young ass," or "young camel."