Pachyderm

Pachyderm (meaning 'thick skin', from the Greek , and ) is an old term for
elephants, rhinoceroses and hippopotamuses.
Genetics has now shown that rhinos, hippos, and elephants are not closely related to each other. Rhinos are closely related to tapirs, but both rhinos and tapirs are much more closely related to horses than to hippos or elephants. 
Family.
The closest relatives of hippos are whales and dolphins. Hippos and whales are more closely related to cows, pigs, deer, antelopes, and giraffes than other pachyderms. 
The closest relatives of elephants seem to be manatees, dugongs, and hyraxes, which are all only distantly related to other pachyderms.
Instead of being descended from a common ancestor, today's science shows that these animals just made similar adaptations independently through convergent evolution.
Elephants, rhinoceroses and hippopotamuses are classified as separate clades altogether. Rhinos, hippos, pigs, peccaries, horses, zebras, donkeys and tapirs are classified in clade Laurasiatheria, while elephants, hyraxes, manatees and dugongs are classified in clade Afrotheria.