Well, in the following case, apparently left to their own these animals crossed.
... The owners of the pony, called Tilly, had no idea she was pregnant when they bought her from a wildlife park, where she had been kept in a field with a male zebra.
"She was fairly fat when we received her and we thought that she was getting fatter," Karen Pete said. "It really was a bit of a shock when we got up one morning and we saw the foal that was there. We realised then what had happened." ...
And hybrids are invariably sterile, she added.
The sterility seems to be breakable in rare cases.