Well, there’s a long answer and a short answer. The short answer is because, that’s what Griffons called us. As for the long answer, well…
Worlds with multiple sentient species don’t just become intellectually advanced all at once. I don’t know that your world keeps track of this sort of thing, because you’re the only ones, but the process in our world is called ascension. It’s not the most popular subject among ponykind because we weren’t the first to ascend. We weren’t even the second.
To be considered an ascended species requires several things. You have to be capable of organized thought exchange, both verbally and in writing, amongst yourselves and other ascended species. You have to be capable of sustaining yourself in an isolated environment indefinitely (a nomadic lifestyle must be a choice, not a requirement). You have to be capable of creating shelter from raw materials and defend yourself from harsh environmental conditions. And I’m sure I’m missing some, but the most difficult is that you must be able to prove that you, or a community of your peers, can protect themselves against a staged attack by a malicious entity.
It’s debated pretty fiercely between dragons and griffons which ascended first, but we definitely came after both. There will always be those that argue, but there’s pretty definitive evidence. As we were hunted by them, griffons also studied us. When pegasus and unicorns first appeared, they observed pegasus manipulating rainfall to yield more substantial wild growth, and reported mild, though varied magical ability in us long before our recorded history began.
Griffons named us unicorns, which in their language at the time (they’ve gone through a few) meant one-horned, and pegasus were called pterippus- which I’m fortunate enough to be able to manually type out, because I can’t even pronounce that. After our ascension began we kept our name, but the pegasus didn’t.
The story goes that a “hero” by the name of Pegasus united or conquered, depending on interpretation, every major pterippus community and changed the entire species’ name to his own. He did some other stuff but I’m not all that into specifics. To that end, pegasus were the first pony species considered to be ascended, though at that time the term had yet to be defined.
Our hornless, terrestrial cousins have an interesting story. Pony roughly means small horse. Earth ponies were so named once unicorns and pegasus started appearing, as a way of further defining them, because we’re all ponies. But when our ascension began, one group of grounded ponies relied on hard work and close ties to the earth. They became what we recognize today as earth ponies.
Meanwhile the other group, fascinated with magic and the desire to harness it, called themselves crystal ponies. They somehow found that crystals were easier to store magic in and harness magic out of than anything else in the world. They even somehow used magic infused into crystals to create the artifact known as the Crystal Heart. When earth, unicorn, and pegasus ponies had to unite in order to survive, timelines show that crystal ponies had no need for outside help. Though the other three had lost contact with them, crystal ponies were already decades ahead of their time through magically-aided technological advancement. At least, so the story goes.
While on the subject, the last species to be considered ascended were cattle. Both goats and sheep are in the process of ascension.
