Oxidative stress has been correlated with pathologies that impair the performance of athlete horses. The aim of this study was to assess the effects of supplementation with a mixture of polyunsaturated oil and vitamin E on the antioxidant and haematological biomarkers of horses. Horses under maintenance care (n = 6) and horses in training (n = 10) received 100 and 300 ml of the oil mixture respectively. Supplementation was provided for a period of 8 weeks, together with isocaloric inclusion. Blood samples were collected at three time periods (pretest, after 4 weeks and after 8 weeks) to analyse the following: the red blood cell count (RBCc); haemoglobin (Hb); haematocrit (HT); leucocytes; lymphocytes; platelets; the mean corpuscular volume (MCV); the mean corpuscular haemoglobin concentration (MCHC); the standard deviation of the red blood cell distribution width (RDW-SD); the coefficient of variation of the red blood cell distribution width (RDW-CV); glutathione peroxidase (GPx); superoxide dismutase (SOD); uric acid (UrAc); total plasma proteins (TPP); and creatine kinase (CK). After the 8 weeks of supplementation, animals under maintenance care exhibited significant increases in SOD, UrAc, the white blood cell count (WBCc), the RDW-SD and the RDW-CV (p < 0.05). The animals in training exhibited increases in GPx, SOD and UrAc (p < 0.05). In conclusion, supplementation with polyunsaturated oil and vitamin E increases blood antioxidants among animals under maintenance and in training, with different trends, while contributing to the fight against oxidative stress in each group analysed.