Often these sounds - which we think are natural - would have been added afterwards by a Foley artist. In many films you see in the cinema, the actors' voices are also 'dubbed' on afterwards in the studio).
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Diegetic sound
Sound which seems to be all part of the scene we are seeing is called diegetic sound.
Diegetic sound includes things like:
the voices of people we see talking on screen,
effects like the sound of horses' hooves, thunder, squealing tyres and so on.
   
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