The study aimed to evaluate sensory laterality and concentration of faecal immunoglobulin A (IgA) as non-invasive measures of stress in horses by comparing them with the already established measures of motor laterality and faecal glucocorticoid metabolites (FGMs). Eleven three-year-old horses were exposed to known stressful situations (change of housing, initial training) to assess the two new parameters. Sensory laterality initially shifted significantly to the left and faecal FGMs were significantly increased on the change from group to individual housing and remained high through initial training. Motor laterality shifted significantly to the left after one week of individual stabling. Faecal IgA remained unchanged throughout the experiment. We therefore suggest that sensory laterality may be helpful in assessing acute stress in horses, especially on an individual level, as it proved to be an objective behavioural parameter that is easy to observe. Comparably, motor laterality may be helpful in assessing long-lasting stress. The results indicate that stress changes sensory laterality in horses, but further research is needed on a larger sample to evaluate elevated chronic stress, as it was not clear whether the horses of the present study experienced compromised welfare, which it has been proposed may affect faecal IgA.