There is considerable debate among horsemen about how to feed horses before exercise. Should horses be fed or fasted before work and when should hay be fed relative to grain and/or exercise? Three experiments were conducted to evaluate if feeding hay with and without grain affects glycaemic and haematological responses in Thoroughbred (TB) horses at rest and during a simulated competition exercise test (CET) on a high-speed treadmill. In Experiment 1, 6 TB horses were fed hay at 3 different times relative to a grain meal. Time of feeding hay affected glycaemic response, plasma protein and water intake post grain feeding. During Experiment 2, 4 TB horses were used in a 4 x 4 Latin square design to determine whether feeding grain with or without hay prior to a CET would affect substrate utilisation and exercise. Feeding grain reduced free fatty acid (FFA) availability and increased blood glucose disappearance during exercise (P < 0.05). Feeding hay either along with grain or ad libitum the night before exercise resulted in reduced plasma volume (P < 0.05) and higher lactate production (P < 0.05) and heart rates (P < 0.05) during exercise. During Experiment 3, 4 TB horses were used in a 4 x 4 Latin square design experiment to determine whether feeding forage but no grain prior to CET would affect substrate utilisation and performance. Feeding only forage before exercise did not adversely affect performance. It was concluded that grain should be withheld from horses before exercise, but that small quantities of hay should be fed to ensure proper gastrointestinal tract function.