Detection of fatigue helps prevent injuries and optimize the performance of horses. Previous studies tried to determine fatigue using physiological parameters. However, measuring the physiological parameters, e.g., plasma lactate, is invasive and can be affected by different factors. In addition, the measurement cannot be done automatically and requires a veterinarian for sample collection. This study investigated the possibility of detecting fatigue non-invasively using a minimum number of body-mounted inertial sensors. Using the inertial sensors, sixty sport horses were measured during walk and trot before and after high and low-intensity exercises. Then, biomechanical features were extracted from the output signals. A number of features were assigned as important fatigue indicators using neighborhood component analysis. Based on the fatigue indicators, machine learning models were developed for classifying strides to non-fatigue and fatigue. As an outcome, this study confirmed that biomechanical features can indicate fatigue in horses, such as stance duration, swing duration, and limb range of motion. The fatigue classification model resulted in high accuracy during both walk and trot. In conclusion, fatigue can be detected during exercise by using the output of body-mounted inertial sensors.