Taking a foal from the wild? Is it illegal?

So i have wanted a horse for a very long time. i have been around them since i was 3, as my family has always had them until up to 2 years ago :( i am currently 16, and i also have an auntie who is able to break horses in. so, if i were to be driven to the newforest, from where i live, there are ALOT of wild horse and foals, just roaming around. would it be illegal for me to take one of these foals home in my horse box, and have my auntie break it in for me? i have all the tack, bridles, saddles etc. so, would that even be possible? no stupid answers, thanks x