Water treadmill (WT) exercise is gaining popularity among equine athletes as it allows for increased workload through the resistance posed by water. However, the effect of an artificial river (AR), which further increases this resistance, on equine fitness indicators has not yet been investigated. This study aimed to determine whether WT exercise with varying water depths and the presence of an AR influences physiological response indicators. Fifteen school horses (n = 15) underwent five treadmill exercise sessions: on a dry treadmill (DT), in fetlock-depth water with and without AR, and in carpal-depth water with and without AR. Physiological responses were assessed pre-exercise, during the highest workload, and at 30 min and 24 h post-exercise by measuring heart rate (HR), blood lactate concentration (LAC), red blood cell count (RBC), hemoglobin concentration (HGB), and the activity of three serum enzymes: creatine phosphokinase (CK), aspartate aminotransferase (AST), and lactate dehydrogenase (LDH). HR and LAC increased significantly (p < 0.0001) from the pre-exercise resting state to the highest workload time point during treadmill exercise, regardless of session type. During the carpal-depth WT+AR session, horses achieved a fitness level characterized by the highest HR (p < 0.0001), LAC (p < 0.0001), and LDH activity (p = 0.001). Thus, horses' physiological responses to walking on a WT with AR differ from those observed on a DT and a WT without AR. WT exercise with AR represents a low-to-moderate intensity aerobic workload for horses, which increases with water depth from fetlock to carpal levels. However, further research is required to evaluate its inclusion in training or rehabilitation programs for athletic horses and its potential beneficial effects.