Background: Lunging is a training method that is performed in a round pen or on a lunge line. However, there is no consensus on applying lunging techniques for physical fitness training. Objectives: To investigate the effort intensity, autonomic responses, and method agreement in applying different lunging protocols to untrained horses. Study design: A non-randomised control trial. Methods: Sixteen untrained horses (aged 13.6 ± 6.3 years and weighing 358 ± 47.4 kg) were studied. Each horse was lunged with a similar programme on a lunge line and, subsequently, in a round pen at a two-day interval. The heart rate variability (HRV) and effort intensity, indicated as a percentage of maximum heart rate (%HRmax), were determined pre-lunging, during lunging at distinct gaits, and at 30-minute intervals for 120 minutes post-lunging. The correlation and method agreement between the two lunging methods were analysed with Pearson’s correlation coefficient and Bland–Altman plots, respectively. Results: The horses ran faster and covered longer distances during exercise on a lunge line than in a round pen. The effort intensity during cantering reached moderate levels (75.1 ± 2.4% HRmax) with occasional high-intensity levels (88.1 ± 1.3% HRmax) via both lunging methods. The HRV reached a minimum during cantering and returned to the baseline 120 minutes post-lunging. The HRV parameters (SDNN, RMSSD, LF, HF, SD1, and SD2) were strongly correlated ( rp ≥ 0.97 and p < 0.001 for all) with a large correlation effect size (R 2 > 0.85) and excellent agreement (average differences were within mean ± 1.96 SD) between the two lunging methods. Main limitations: The running speed and distance reported during lunging may not be entirely accurate due to the manual calculation required. Conclusions: Lunging can provoke optimal physiological responses in horses. The two tested lunging methods may be applied interchangeably for physical fitness training.