Yes it is true. 

Scientists believe that dolphins once lived on land.  It is believed that they looked and behaved like a small wolf.  They would have had 5 hoof-like toes on each foot, instead of claws.

Some types of dolphins still have hair on their head.  The Amazon River dolphin still has hair on its beak.

Dolphins also have inside their flippers, finger bones, which provides evidence of where they evolved from.  They also have bones of forearms, wrists, and few small leg bones deep inside their bodies.