In this study, we examined the effects of pre-cooling on thermophysiological responses in horses exercising in moderate environmental conditions (average wet bulb globe temperature: 18.5 ± 3.8 °C). Ten international eventing horses performed moderate intensity canter training on two separate days, and were either pre-cooled with cold-water rinsing (5–9 °C for 8 ± 3 min; cooling) or were not pre-cooled (control). We determined velocity (V), heart rate (HR), rectal temperature (Tre,), shoulder and rump skin temperature (Tshoulder and Trump), plasma lactate concentration (LA), gross sweat loss (GSL), and local sweat rate (LSR), as well as sweat sodium, chloride and potassium concentrations. The effect of pre-cooling on Tre was dependent on time; after 20 min of exercise the effect was the largest (estimate: 0.990, 95% likelihood confidence intervals (95% CI): 0.987, 0.993) compared to the control condition, resulting in a lower median Tre of 0.3 °C. Skin temperature was also affected by pre-cooling compared to the control condition (Tshoulder: −3.30 °C, 95% CI: −3.739, −2.867; Trump: −2.31 °C, 95% CI: −2.661, −1.967). V, HR, LA, GSL, LSR and sweat composition were not affected by pre-cooling. In conclusion, pre-cooling by cold-water rinsing could increase the margin for heat storage, allowing a longer exercise time before a critical Tre is reached and, therefore, could potentially improve equine welfare during competition.