Are you sitting comfortably, then I'll begin:-)
Once upon a time the British army had Regiments of Horse and Dragoons. Horse were heavy cavalry and Dragoons were, well, dragoons. In 1746 the Regiments of Horse were re-named Dragoon Guards, whilst the Dragoons remained plain Dragoons.
The Royal Horse Guards were originally a Parliamentary regiment raised in the north east of England in 1650 as The Regiment of Cuirassiers. On formation of, what was to become, the modern British army in 1660, they became The Royal Regiment and were promptly disbanded, only to be formed again in 1661 as the Royal Regiment of Horse ranked 1st Horse and also known as the Oxford Blues.
They were placed on the Royal Household establishment in 1687 and given independent status, being removed from the Horse hierarchy, in 1746.
They became the Royal Horse Guards Blue in 1750, which was still their proper title in 1815.
In 1788 the 1st and 2nd Lifeguards were raised from 1st and 2nd Troops Royal Horse Guards respectively.
Together the Royal Horse Guards (now the Blues and Royals) and Royal Lifeguards (now a single regiment) formed the Household Cavalry.