Background: Rhodococcus equi causes pneumonia in young foals, but disease susceptibility and severity vary. Cortisol and vitamin D modulate immune responses and cytokine production during bacterial infection, and altered concentrations are associated with sepsis in neonatal foals. We hypothesised an age and disease effect on circulating steroid hormone concentrations in foals, and that differences in cytokines and steroid hormone concentrations would predict disease severity in pneumonic foals. Objectives: To investigate circulating concentrations of various cytokines, cortisol and vitamin D as predictors of individual disease severity in R. equi foals. Study Design: Prospective cohort. Methods: Blood samples were collected from 200 initially healthy foals on a pneumonia‐endemic breeding farm after birth and at 1, 2, 4, 8, 12 and 20 weeks of age. Health status was tracked weekly. At weaning (20 weeks), foals were divided into three health groups: (1) foals that remained healthy, (2) foals that developed subclinical, self‐resolving pneumonia and (3) foals that developed clinically apparent pneumonia necessitating antimicrobial treatment. Foals were randomly selected ( n = 30/group) for cortisol, vitamin D and cytokine (TNFα, IL‐4, IL‐10, IL‐17 and interferon‐gamma [IFN‐γ]) analysis using validated assays. Results: We observed disease‐associated differences for IFN‐γ at 4 weeks ( χ ² = 13.91; df = 2; p = 0.001) and 20 weeks ( χ ² = 10.0; df = 2; p = 0.007) and age‐associated differences for cortisol, vitamin D and other cytokines ( p < 0.001). Main Limitations: Causative agent not identified, frequency and timing of sample collection may have impacted results, and systemic cytokine concentrations may not accurately reflect cytokine availability and activity at the tissue level. Conclusions: Periodic measurement of circulating steroid hormones and cytokines from birth to weaning was not predictive of pneumonia susceptibility and severity in foals on a farm with endemic pneumonia. Disease‐associated IFN‐γ differences warrant further investigation.