This study aimed to evaluate the change of white blood cell count, serum concentration of cortisol, C-reactive protein, albumin and globulin fractions in horse after road transport, and to assess the linkage among hypothalamic–pituitary–adrenal axis (HPA) and inflammatory reaction. From 10 horses blood samples were collected at rest, before road transport (218 km) (BT); after unloaded (AT), 30 and 60 min after unloaded (AT30 and AT60) in order to assess white blood cell count (WBC), serum cortisol, C-reactive protein (CRP), total proteins, albumin, α1-, α-2, β1-, β2- and γ-globulins. WBC, cortisol, CRP, α1-, α-2 and β2-globulins values increased after road transport than rest condition (p < 0.001). Albumin and A/G ratio showed lower values after road transport than rest (p < 0.001). Pearson’s test showed a negative correlation between cortisol and the values of WBC, CRP, α1-, α2-, β1-, β2- globulins, and a positive correlation between WBC and serum concentration of CRP, α1- and α2-, β1-, β2-globulins at AT and AT30. The results showed that road transport evokes an inflammatory like-status in horses. Moreover, the activation of HPA and the onset of acute phase reaction in response to road transport seem to be interconnected with effects on horse’s immune status.