The defensive function of the intestinal mucosa depends both on the ability to secrete immunoglobulin A and communication with the mucus microbiome. In horses, the functioning of this system is also influenced by the presence of nematode eggs. Feces collected from healthy horses were examined to determine the fecal egg count, immunoglobulin A level (ELISA), microbiome composition (Next-Generation Sequencing, NGS, V3–V4 and V7–V9 hypervariable regions of the 16S rRNA gene analysis and short-chain fatty acid (SCFA) production ((high-performance liquid chromatography, HPLC). In the taxonomic analysis within the phylum, the following order of dominance was found: Firmicutes, Bacteroidota, Verrucomicrobiota and Fibrobacterota. The coefficient of phylogenetic diversity of the microbiome positively correlated with both secretory immunoglobulin A (SIgA) [μg/g of feces] (p = 0.0354, r = 0.61) and SIgA [μg/mg of fecal protein] (p = 0.0382, r = 0.6) and with the number of Cyathostomum eggs (p = 0.0023, r = 0.79). Important components of the key microbiome in horses, such as phylum Proteobacteria and species Ruminococcus flavefaciens, were positively correlated with the fecal SIgA (p < 0.05). All the obtained results indicate the existence of significant relationships between the host response (SIgA production) and composition and SCFA production in the microbiome as well as the presence of small strongyles in the digestive tract of horses.