A mix of man and horse. Also known as a way for /d/ to feature more horse cock without being accused of bestiality.
Who were they?
The Centaurs was a mythical creature from Greek myth, who lived as a barbarian tribe alongside the human Lapiths, another mythical culture. The Lapiths invited the Centaurs to one of their weddings, and then things went haywire very, very fast. Though the Centaurs had been benevolent beforehand, the turned on a plate during the wedding, trying to rape the women and kill the men of the Lapiths. This ended up as one huge brawl, ending with a Lapith victory. This was the Greek way of saying "Hey, nature? You suck.".
Though he Centaur in and of itself haven't been discovered as of yet in the dark millenium (it is perfectly possible that they exist somewhere in the galaxy, mind you), the Interex had a heavy infantry platform which had the shape and appearance as the Centaurs of myth. The human soldier was fit into the front of a mechanical, horselike body, (where the head would've been on a real horse) so only the upper body was visible - They even went so far as giving the soldiers laser-crossbows.
Though most would argue that this was freaking awesome, they were exterminated by the Imperium, and as far as we know, the Mechanicum haven't kept anything from the Interex... But who knows, maybe the next Imperial Guard Supplement will include cyborg horse-human hybrids. You can't know with GW these days.
Also, the zoats.