Overtraining syndrome (OTS) is the reduction in performance due to excess training and lack of proper recovery, which can lead to a chronic deprivation of energy and reduction in the repair of damage that can accumulate over time. Here, the effect of acute, intense physical exercise on the expression of innate and adaptive immune genes in 12 racing-bred American Quarter Horses, after resting for 3 days and immediately after intense exercise for 1.8 miles were compared. The expression of 84 genes related to innate and adaptive immune responses was analyzed. Significant variation among individuals and between sexes was observed. The analysis showed that five genes were differentially expressed in both females and males, three only in females, and two in males. The upregulated genes were IL13 (male only), CCR4 (female only), TLR6, TLR9 (female only), NFKBIA, CXCR3, and TLR4, while the downregulated genes were IL6 (female only), CD4 (male only), and MYD88. The three main pathways containing genes that were affected by acute, intense physical exercise were Th1 and Th2 cell differentiation, and the NF-kappa B and chemokine signaling pathways, suggesting the activation of the proinflammatory responses as a result of the stress from the acute exercise. Gene expression could be used to assess indications of OTS.