Assuring a high level of animal welfare is a critical aspect of contemporary animal husbandry. Equine athletes begin their careers at a very young age when they are still developing and they are both physically and mentally immature. Lack of scientific knowledge of the stress related to horse racing impedes the development of optimal training programs to attain equilibrium between the best sport results and optimal welfare. This study aimed to determine the influence of the intensity and type of physical activity on peripheral blood cortisol concentration. Thirty untrained Arabians, 9 endurance and 21 race horses were enrolled in this longitudinal study. Blood samples were analysed every 3-weeks in 4 training sessions and 2 races in racing horses and monthly after 2 training sessions and 1 competition in endurance horses. Cortisol concentration was measured at rest and 30 min. after physical effort. Racing horses were divided into two groups of the best and the worst performers. Cortisol concentration increased significantly after training and competition, however both in racing and endurance horses the increase was more intensive after competition. In the racing horses, cortisol concentration tended to gradually increase after the subsequent trainings during the racing season, however the starting gate did not appear to exert any impact on cortisol concentration. The best performing race horses appeared to have a lesser increase in cortisol concentration after the race than the worst performing horses, however the cortisol concentration after the race was not significantly different between these two groups of horses. This study suggests that an optimal training program can induce a stress response which is likely not to have any harmful impact on an athlete’s welfare. The more intense effort associated with competition events, both in race and endurance horses, results in a greater stress response, indicating that these kinds of events should be limited to assure animal welfare. Finally, better performance horses adapt more readily to physical activity as they experience less increase of serum cortisol concentration after the race.