Hero, a great white stallion, and Devil, a fierce wild wolf of probably the timber species (as portrayed in Indian comics), are not mere pets of the Phantom, but the closest of his companions. They would accompany him as far as they can go. Devil being able to do more so as he can venture into towns and cities unlike Hero who has to stay back at the edge of the jungle.
Hero was a gift given to the Phantom by the Maharajah of Nimpore for saving his daughter. Devil, on the other hand, had been found by the Phantom himself as a little orphan cub. His mother had been killed by a hunter who also stole his siblings.
Hero, Devil and the Phantom are like family to each other. Many a time, we find Devil saving his master's life by letting out a timely warning bark or by dragging him to safety. The Phantom will also never leave Hero or Devil in danger, always making sure they're safe. The threesome are now inseparable.