This review describes the physiological role of cortisol in the horses’ body and the usefulness of cortisol concentration measurements in assessing welfare and diagnosing diseases. Cortisol is examined in terms of its production and functions, along with the concept of circadian cortisol rhythms and potential disruptions in these patterns. The significance of cortisol concentration is emphasized, as it provides insights into stress levels, and the connection between cortisol and stereotypical horse behaviors, raising the question of whether these behaviors signify stress or serve as coping mechanisms. Moreover, cortisol concentration helps in diagnosing various health conditions such as Cushing’s Disease, inflammation, and metabolic imbalances. As cortisol concentration is considered a stress indicator that may be affected by the sampling protocol, the matrices for cortisol sampling and their practical applications are summarized. In this review, three major cortisol sampling methods: plasma, salivary, and hair cortisol, are described in detail. Plasma cortisol measurements offer acute stress insights, while salivary cortisol analysis provides a non-invasive method for continuous stress monitoring. Hair cortisol, on the other hand, offers an assessment of long-term stress levels. This text underscores the importance of cortisol control in safeguarding the welfare and health of horses.