In the Nordic countries, permanent outdoor housing of horses in winter is gaining popularity. This practice will expose the horses to harsh weather conditions. However, horses that are kept indoors at night and turned out in the cold during daytime also experience thermoregulatory challenges. With emphasis on the special challenges in a Nordic climate, this paper aims to increase the understanding of thermoregulation in horses, and ultimately to improve management practices. First, factors related to the environment and the mechanisms of heat exchange are summarised, thereafter the factors related to the horse, such as anatomy and physiological mechanisms which are important for balancing heat gain and heat loss. Human utility of horses and management practices such as clipping, the use of rugs, and provision of shelter are discussed in the light of thermoregulation in horses. The management and care for horses should take into account the principles of thermoregulation and mechanisms of heat loss and gain, and horses should be given a freedom of choice to cope with changing weather conditions. This should include space for movement, protection from sunshine, precipitation and wind, dry bedding, and appropriate feeding. Several studies indicate that the combination of cold rain and wind is a very demanding weather type, not just very low ambient temperatures. A shelter offers the horse protection from wind, precipitation and radiation which it can use when needed, and is therefore a more flexible management solution than a rug, especially when weather conditions change rapidly. In inclement weather, a rug may be a useful supplement. Too many horse owners clip their horse, which often necessitates the use of rugs on a regular basis. More knowledge is needed on how to best manage sport horses, especially when being sweaty after exercise in winter, to ensure good welfare.