The foal was born on Saturday evening on the island of Korkeasaari. It immediately rose on wobbly legs to nurse from its mother.
Zoo officials have not so far announced the gender of the new arrival.
A group of Mongolian ice carvers taking part in the International Ice Sculpting Festival on the zoo island (Feb. 2-10) said they believe it is a filly.
The Przewalski's horses in the enclosure normally have no direct contact with humans.
Fewer than 2,000 worldwide
The zoo on the island of Korkeasaari has had a small herd of the Mongolian wild horses since the 1970s as part of the European Endangered Species Programme (EEP). The herd now includes two adult mares, one stallion and their young.
The horses were extinct in the wild by the late 1960s, with only about 15 surviving in captivity. Due to a successful zoo breeding programme, some have been reintroduced in Mongolia. There are now believed to be some 400 in the wild and 1500 in captivity.
They are listed as critically endangered by the International Union for Conservation of Nature.