Determination of morphological and biochemical blood indices facilitates assessment of the health and welfare of horses, their nutrient demand, the effects of training already undertaken, and the horses' suitability for exercise. Identification of the season-dependent components and the effects of sex and exercise on changes in frequently referenced haematological and biochemical parameters was the main goal of the current study. The blood morphology of 21 healthy adult Shetland ponies (11 mares and 10 stallions) aged 6.5 ± 1.4 years from the central Pomeranian region in Poland was analysed. Blood samples were taken once per season for one year. No statistically significant season-dependent differences were found in the blood morphology parameters in either mares or stallions before or after exercise. Beta-coefficient results revealed the strength and type of the relationship of red blood cell distribution width (RDW) and granulocyte count (GRA) with the season, of red blood cell count (RBC), haematocrit, mean corpuscular volume and mean platelet volume with the sex, and of RDW, white blood cell count, GRA and RBC with the exercise factor. Biomarkers demonstrating the relationship between aerobic and anaerobic levels of energy metabolism in the blood did not show any sex dependency in regression analysis. The sex-independence of energy metabolism biomarkers may indicate the universality of these parameters. Both seasonality itself and its combination with the exercise factor took part in the formation of effective adaptive reactions for maintenance of morphological blood indices in the ponies during exercise.