Training has a great impact on the physiology of an athlete and, like all stressful stimuli, can trigger an innate immune response and inflammation, which is part of a wider coping strategy of the host to restore homeostasis. The Thoroughbred racehorse is a valid animal model to investigate these changes thanks to its homogeneous training and highly selected genetic background. The aim of this study was to investigate modifications of the innate immune response and inflammation in young untrained Thoroughbred racehorses during the first training season through haematological and molecular investigations. Twenty-nine Thoroughbred racehorses were followed during their incremental 3-month sprint exercise schedule. Blood collection was performed at time 0 (T0; before starting the intense training period), 30 days after T0 (T30), and 90 days after T0 (T90). Haematological parameters (red and white blood cells, haemoglobin, and platelets) were evaluated and haematocrit (HCT), mean corpuscular haemoglobin concentration (MCHC), and red cells width distribution + standard deviation (RDW-SD) were calculated. Moreover, via RT-qPCR, we investigated the expression of, Interleukin 1β (IL-1β), Interleukin 4 (IL-4) Interleukin 6 (IL-6), Interleukin 2 (IL-2), Interleukin 3 (IL-3), Interleukin 5 (IL-5) Interleukin 8 (IL-8), Trasformig Growth Factor β and α (TGF-β), Tumor necrosis factor α (TNF-α), and Interferon γ (IFN-γ)genes. Main corpuscular volume (MCV) showed a significant (p = 0.008) increase at T90. Main corpuscular haemoglobin (MCH) and haemoglobin concentration (MCHC) values were significantly augmented at both T30 (p < 0.001) and T90 (p < 0.001). Basophils were significant increased at T30 (p = 0.02) and eosinophils were significantly increased at T90 (p = 0.03). Significant differences in gene expression were found for all the genes under study, with the exception of IFN-γ and TNF-α. In particular, IL-2 (T30, p = 0.011; T90, p = 0.015), IL-4 (T30, p = 0.009; T90, p < 0.001), and IL-8 (T30, p < 0.001; T90, p < 0.001) genes were significantly upregulated at both T30 and T90 with respect to T0, TGF-β was intensely downregulated at T30 (p < 0.001), IL-5 gene expression was significantly decreased at T90 (p = 0.001), while IL-1β (p = 0.005) and IL-3 (p = 0.001) expression was strongly augmented at the same time. This study highlighted long-term adjustments of O2 transport capability that can be reasonably traced back to exercise adaptation. Moreover, the observed changes of granulocyte numbers and functions and inflammatory cytokine gene expression confirm a major role of the innate immune system in the response to the complex of stressful stimuli experienced during the training period.