From THTF P. 309: Chapter 9, "Meanings"

DIAGONALS: This word refers to two of the horse’s legs — one front leg and one hind leg — that are on opposite sides. A left diagonal refers to the left front and right hind leg. A right diagonal means the right front and left hind leg. This is a naturally occurring motion that helps the horse keep better balance in the trot and the back-up. The horse also relies on his diagonals for balance at the walk and the lope, but this isn’t so obvious.