The purpose of this study was to investigate stressful responses during a 6-week training protocol in young Lusitano horses used for dressage. The hypothesis was that the proposed training protocol would improve fitness and ensure the welfare of the animals by reducing stress predictors. Nine 4-year-old horses were evaluated before (M1) and six weeks after (M2) beginning a training protocol. The training program was performed six times per week and included 40–80 min of individually intensity-adjusted preparatory exercises for dressage. For both moments, the horses were examined before (T0) and after (T1) dressage simulation tests (DST), and at 30 (T2) and 240 min (T3) during the recovery period. Blood samples were taken to determine the horses’ cortisol levels, total WBC, and neutrophil and lymphocyte counts. All variables were analyzed by one-way ANOVA and Tukey tests, with p ≤ 0.05. After training, there was a significant reduction in cortisol (p = 0.0133), HR (p = 0.0283), total WBC (p < 0.0001), and neutrophil (p < 0.0001) and lymphocyte (p = 0.0341) counts. Other findings included an increase in HRV parameters related to a cardiac vagal modulation. In conclusion, the chosen training protocol led to better fitness as the horses worked more intensively with lower cardiovascular requirements, and they showed blunted cortisol responses at M2. Such data can be used to evaluate performance, but also to predict the welfare of athletic horses.