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A Zygon was the Commander of the Zygon fleet trapped on the 16th-century Earth.
Having found the human civilisation of the time too primitive, the fleet decided to enter stasis cubes in 1562 and wait for a more industrially advanced period.
To achieve this goal, the Zygon Commander first assumed the form of a horse that was used by the Tenth Doctor and Queen Elizabeth I. After being discovered by the Doctor's device, the Commander fled and assumed Elizabeth's form. Both Elizabeth and the Zygon tried to convince the Doctor of being the real Elizabeth. Having both failed, they fled into a nearby forest when the Eleventh Doctor arrived. Elizabeth managed to kill the Zygon Commander, who underestimated her. She then impersonated the Commander impersonating her and learned that the Zygons were planning to emerge from the statis cube in the 21st century. (TV: The Day of the Doctor)
Behind the scenes
DWMSE 38 states that the actor playing the Zygon returning to its form from the horse was Aidan Cook.