It's a lot to take in, I've been in that position too when we first got here. I couldn't even leave Yu-kun's side because I was so scared.

[Those were the days...]

But yes, we have been turned into ponies and other creatures native here. As for this place, it's called Equestria and the town we're in is called Ponyville. There are lots of puns that would make Teddie's look like a cakewalk.