The inclusion of vegetable oils in equine diets aims to meet energy demands and replace grains. This study evaluated the effects of pequi oil on apparent digestibility, intake, ingestive behavior, and blood and physiological parameters of horses subjected to physical exercise. Nine male Mangalarga Marchador horses (10 +/- 5 years; 390 +/- 30 kg) were assigned to three dietary treatments: pequi oil, soybean oil, and no oil. Animals received Jiggs grass hay (Cynodon spp.) as roughage and a commercial concentrate supplemented with oil. The 63-day trial comprised three 21-day periods in a Latin square design. Apparent digestibility was determined by total feces collection, and ingestive behavior was recorded over 24 hours. At the end of each period, horses performed light exercise tests. Physiological parameters and blood samples were collected at rest, immediately after exercise, and 10 and 30 minutes post-exercise to assess enzymatic activity and biochemical concentrations. Pequi oil improved the digestibility of dry matter, crude protein, and neutral detergent fiber without causing adverse effects to the parameters assessed. Therefore, pequi oil can be safely included in the diet of Mangalarga Marchador horses subjected to physical exercises and under semiarid conditions for at least 21 days.