Its looking great! Im not familiar with Affinity Photo, but I think some more shadows and highlights in the snow around the legs will help place them into the Background some more. Also, if there is a "Color Balance" option in one of your toolbars, maybe adding some more blues to the horse? Like in its belly area, its just a bit warmer than the surrounding area. Great work!

Thank you RJ, I appreciate your help :)

I agree with everything RJ said, those things will help the horse to better fit in with the background and look more natural. Also I know its a WIP so you're probably already planning on doing this, but the horse needs to be a little bit darker, especially the hair, to match the lighting of the backgorund. By the way, your hair technique is awesome, I can't wait to see more art from you.