Yep. Numerous transitional forms exist, precisely where they would have to be for such a divergence. Hyracotherium is very close to the actual common ancestor of rhinos and horses. Recently, they found one even closer.
A portly hoofed animal about the size of a wild pig just might help solve a 55-million-year-old mystery of evolution and continental drift.
The mammal, which likely weighed 45 to 75 pounds, probably occupied a branch of the evolutionary tree right beside a broad group that has since radiated out into the modern rhinoceros, horse and hippopotamus, according to a study published online Thursday in the journal Nature Communications.
Cambaytherium thewissi, first described nine years ago, comes as close to being described as a “missing link” as any paleontologist might dare (most eschew the term). It retains features later lost among its sister mammals, the perissodactyls – which includes tapirs, rhinos and horses.
“It’s a transitional form; it’s a missing link, if you like,” said the study's lead author, Kenneth Rose, a paleontologist at the Johns Hopkins University School of Medicine. “I don’t like that term, because all fossils really are missing links. Anything new is a missing link in your understanding.”
http://www.latimes.com/science/sciencenow/la-sci-sn-a-rhinohorse-india-20141120-story.html
Science never "proves" anything. It merely gathers enough evidence to make it absurd to deny what the evidence says. It's like the way you confidently anticipate the Sun appearing in the east every morning. You can't prove it, but it's absurd to deny that it will happen.
The discovery of yet another predicted transitional is pretty convincing, but even more convincing is that there are no transitionals where they should not be. Nothing between bears and horses. No transitional wolf/kangaroos. And so on.
In Cygnus' doctrine of "evolutionism", they can't. But evolution doesn't work that way. Typically, populations diverge into different groups and these can evolve into different kinds of organism, like horses and rhinos.