Background: Horses participating in eventing competitions experience significant challenges that lead to a high risk of severe injuries and metabolic disorders. Objectives: To investigate horses’ stress responses though heart rate (HR) and heart rate variability (HRV) in three exercise tests and their recovery periods while participating in the Fédération Équestre Internationale World Eventing Challenge. Study design: Case-control study. Methods: HR and HRV were monitored in 10 horses during the competition. However, data were collected from nine horses, as one was eliminated from the competition. Results: Beat-to-beat (RR) interval decreased during dressage (D), jumping (J) and cross-country (CC) tests, lasting 60 min after cross-country (60-CC) (D: 594.6 ± 40.2 ms, J: 420.6 ± 94.5 ms, CC: 358.0 ± 66.9 ms and 60-CC: 1424.2 ± 98.3 ms vs control: 1742.0 ± 202.3 ms, p < 0.05–0.001). HR increased during the exercise tests, extending to 60-CC (D: 101.4 ± 7.0 beats/min, J: 148.2 ± 30.5 beats/min, CC: 172.0 ± 27.0 beats/min and 60-CC: 42.2 ± 3.0 beats/min vs control: 34.8 ± 3.7 beats/min, p < 0.05–0.001). Various HRV metrics were lower during J than D, including standard deviation of normal-to-normal RR interval (D: 25.4 ± 9.1 ms vs J: 9.8 ± 6.2 ms, p < 0.01), total power band (D: 512.4 ± 261 ms 2 vs J: 126.8 ± 180.4 ms 2, p < 0.05) and standard deviation 2 (D: 35.0 ± 12.5 ms vs J: 13.4 ± 8.9 ms, p < 0.01). Changes in the indexes of the parasympathetic and sympathetic nervous systems corresponded with modifications in the RR interval and HR, respectively. Main limitations: Information on the training activity of horses and riders was unavailable. Conclusions: The more pronounced stress during J and CC tests highlights the need for greater attention during these phases for horses participating in one-day eventing events.