The scientific study of animal emotion has recently become an important focus for animal behaviour and welfare researchers. For horses used by humans for work, recreation or sport, the question of the significance of their life experiences in terms of their emotional response, is an important one if we are to provide for their welfare needs. Horses have received relatively less scientific attention than many livestock species when it comes to investigating emotional state or affective experience, although their behavioural responses during sporting or recreational performance are often described anecdotally using terminology indicating an underlying presumption of equine emotions. Indeed, the international governing body for equestrian sport, the Fédération Equestre Internationale (FEI), include the concept of ‘the Happy Equine Athlete’ into their rules, as a key objective during training and competition. This review presents available evidence to date of the physiological, behavioural and cognitive components of equine emotion and evaluates the extent to which the question concerning ‘how horses feel’ can be answered. The characterization of equine emotion in terms of level of arousal and valence, based on physiological, behavioural and cognitive indicators, offers a way forward to determine the impact of different situations and experiences on horses during their working lives. There is a need to develop robust validated methods for accessing equine emotions, to underpin a universally agreed method for/approach to providing an accurate assessment of equine welfare that can be utilized in a variety of contexts. This will provide a means of monitoring and improving the horse's experience, ensuring that the horse enjoys a good life, rather than one that is just worth living.