Hyperthermia and exertional heat illness (EHI) are performance and welfare issues for all exercising horses. Monitoring the thermoregulatory response allows for early recognition of metabolic heat accumulation during exercise and the possibility of taking prompt and effective preventative measures to avoid a further increase in core body temperature (Tc) leading to hyperthermia. Skin temperature (Tsk) monitoring is most used as a non-invasive tool to assess the thermoregulatory response pre- and post-exercise, particularly employing infrared thermographic equipment. However, only a few studies have used thermography to monitor skin temperature continuously during exercise. This commentary provides an overview of studies investigating surface skin temperature mainly by infrared thermography (IRT) during exercise. The scientific evidence, including methodologies, applications, and challenges associated with (continuous) skin temperature monitoring in horses during field exercise, is discussed. The commentary highlights that, while monitoring Tsk is straightforward, continuous Tsk alone does not always reliably estimate Tc evolvement during field exercise. In addition, inter-individual differences in thermoregulation need to be recognized and accounted for to optimize individual wellbeing. With the ongoing development and application of advanced wearable monitoring technology, there may be future advances in equipment and modeling for timely intervention with horses at hyperthermic risk to improve their welfare. However, at this point, infrared thermographic assessment of Tsk should always be used in conjunction with other clinical assessments and veterinary examinations for a reliable monitoring of the welfare of the horse.