The frequent monitoring of a horse’s body temperature post strenuous exercise is critical to prevent or alleviate exertional heat illness (EHI) from occurring. Percutaneous thermal sensing microchip (PTSM) technology has the potential to be used as a means of monitoring a horse’s body temperature during and post-exercise. However, the accuracy of the temperature readings obtained, and their relationship to core body temperature are dependent on where they are implanted. This study aimed to document the relationship between core body temperature, and temperature readings obtained using PTSM implanted in different muscles, during exercise and post application of different cool-down methods. PTSMs were implanted into the right pectoral, right gluteal, right splenius muscles, and nuchal ligament. The temperatures were monitored during treadmill exercise, and post application of three different cool-down methods: no water application (Wno), water application only (Wonly), and water application following scraping (Wscraping). Central venous temperature (TCV) and PTSM temperatures from each region were obtained to investigate the optimal body site for microchip implantation. In this study, PTSM technology provided a practical, safe, and quick means of measuring body temperature in horses. However, its temperature readings varied depending on the implantation site. All muscle temperature readings exhibited strong relationships with TCV (r = 0.85~0.92, p < 0.05) after treadmill exercise without human intervention (water application), while the nuchal ligament temperature showed poor relationship with TCV. The relationships between TCV and PTSM temperatures became weaker with water application. Overall, however the pectoral muscle temperature measured by PTSM technology had the most constant relationships with TCV and showed the best potential to act as an alternate means of monitoring body temperature in horses for 50 min post-exercise, when there was no human intervention with cold water application.