There are legends of Centaurs in the grasslands in Essos:

The histories of those days lost to us, sad to say, for the kingdoms of the grass came and went in large measure before the race of man became literate. Only the legends persist [...] East of them stood the kingdoms of the centaurs, half man and half horse.

• The World of Ice and Fire, Beyond the Free Cities: The Grasslands

There are skeletons of centaurs but the maesters say they are hoax and have an explanation on the origins of centaur legends:

Archmaester Hagedorn has put forth the theory that the centaurs were no more than mounted warriors, as perceived by neighboring tribes who had not yet learned to tame and ride horses. His views have become widely accepted at the Citadel, despite the purported "centaur skeletons" that turn up in grotesqueries from time to time.

• The World of Ice and Fire, Beyond the Free Cities: The Grasslands

So at this point it seems that Hagedorn's theory is true and that the "centaurs" of the legends were probably just ancestors of the Dothraki... BUT the maesters also have an explanation on the origins of the legends of the Others:

Archmaester Fomas's "Lies of the Ancients" -- though little regarded these days for its erroneous claims regarding the founding of Valyria and certain lineal claims in the Reach and westerlands--does speculate that the Others of legend were nothing more than a tribe of the First Men, ancestors of the wildlings, that had established itself in the far north. Because of the Long Night, these early wildlings were then pressured to begin a wave of conquests to the south. That they became monstrous in the tales told thereafter, according to Fomas, reflects the desire of the Night's Watch and the Starks to give themselves a more heroic identity as saviors of mankind, and not merely the beneficiaries of a struggle over dominion.

• The World of Ice and Fire, Ancient History: The Long Night

And doubts of their existence:

But the Age of Heroes is long done, and the Others have not shown themselves in thounds of years, if indeed they have ever existed

• The World of Ice and Fire, The North: The Wall and Beyond

But we know that this is false. We know that the Others really existed (and that they still exist). So what are the chances that the maesters are also wrong about the centaurs? Maybe the centaurs really existed and the skeletons aren't hoax. Maybe even the early Dothraki or their ancestors are became mounted warriors because they wanted to imitate the centaurs, or perhaps it was the centaurs themselves who taught them the domestication of horses.

This is probably a tinfoil theory for most people, but it's my headcanon now lol.