Equine assisted interventions (EAIs) include all therapeutic interventions aimed at improving human wellbeing through the involvement of horses. Due to the prominent emotional involvement traditionally characterizing their relation with humans, horses developed sophisticated communicative skills, which fostered their ability to respond to human emotional states. In this review, we hypothesize that the proximate causation of successful interventions could be human–animal mutual coordination, through which the subjects bodily and, most importantly, emotionally come into contact. We propose that detecting emotions of other individuals and developing the capacity to fine-tune one’s own emotional states accordingly (emotional transfer mechanism), could represent the key engine triggering the positive effects of EAIs. We provide a comprehensive analysis of horses’ socio-emotional competences according to recent literature and we propose a multidisciplinary approach to investigate this inter-specific match. By considering human and horse as a unique coupling system during the interaction, it would be possible to objectively measure the degree of coordination through the analysis of physiological variables of both human and animal. Merging the state of art on human–horse relationship with the application of novel methodologies, could help to improve standardized protocols for animal assisted interventions, with particular regard to the emotional states of subjects involved.