Soon after Twilight got her Cutie Mark and was accepted to be Celestia`s personal student, Twilight velvet and Night Light soon had a young male filly who was an Alicorn, who was then named Midnight. Shocked by this, Celestia decided that once old enough, Midnight will join Twilight in her studies. Midnight is a reincarnated Human, but has no memories of his human life, but for what reason? All that is known is that a threat from the North is responsible for this.
(This will follow the TV series until a certain point, and this is my first story so be gentle.)
Young male horses are called colts not fillies, so you should fix that. Also, I wouldn't really recommend selfinsert fics, they usually aren't received very well.
Both parts of her name need to be capitalized.
There's no such thing; "filly" = "girl", "colt" = "boy", "foal" = "child". Learn this. Also, it's generally assumed that a newborn would be young.
Why? Just because you felt like it? He was born into a status that his big sister had to work her ass off to get? So much for the specialness of alicorns.
Shocked by what? The fact that Twilight Velvet had another kid, or that said kid was born as an alicorn? Because when I first read it, it sounded more like the former than the latter.
What does this have to do with the "shock" that's mentioned at the beginning of the sentence? The first section doesn't lead to the next part.
How do they even know this? More importantly, why? I suspect it's just in an effort to make your self-insert more special, or more like you, or both. Isn't it enough that he's both the sibling of a major canon character and an alicorn from birth?
Then how do they know?
That's what I'm askin'!
Which is why Stannis Baratheon went to the Wall...
Now that I've tried to read this, I have to ask: is English your native language?
You need a "Human" tag.
I like this story so far hope to read more soon