A pregnant mare's need for additional calories is greatest during her last 3 months of gestation, which is when the foal is making the greatest demands on her system. So yes, they eat more, but not at every stage of pregnancy. As to when mares actually show physical signs of pregnancy, that varies. Mares that are older and have had many foals will show more quickly than young, fit, maiden mares which have never foaled. This is the reason why every so often you'll hear a story about a filly who is racing fit giving birth in her stall at a racetrack. That doesn't happen often, but it has occurred enough that people do talk about it. It's entirely possible for a filly or mare to be racing fit and still have a healthy, normal foal.