The best response that provides evidence for the most recent common ancestor among humans, whales, and horses is:
they all have similar bones in their limbs.
This similarity suggests a common evolutionary origin, as homologous structures (similar bones in limb anatomy) indicate a shared ancestry among the species. While being mammals, having hair, and having internal skeletons are also true for these animals, the similarity in bone structure is a stronger indicator of a more recent common ancestor.