Equine exercise performance depends on numerous extrinsic factors which interact with each other. Physiological, energetic and biochemical factors have to be investigated simultaneously to study exercise performance capacity. The purpose of this study was to determine the capacities of 16 saddle horses by measuring cardiac, hematological, energetic and gait parameters. Multivariate statistical methods such as principal component analysis and discriminant analysis were used to describe the relationships between variables and to compare the exercise fitness of each horse, taking into account all the information obtained. These statistical methods indicated interesting relations of causality or redundancy between the parameters. Study of the horses revealed a better aptitude in sprint, resistance or endurance exercise in some of them. Discriminant analysis distinguished between breeds on the basis of the different physiological and gait parameters measured. It was concluded that multivariate analysis was well adapted the exercise fitness on the basis of several criteria by providing synthetic information.