Abstract Background Steaming hay significantly reduces respirable particles and provides a palatable alternative to dry hay for horses with asthma, but there are few prospective studies demonstrating the clinical efficacy of steamed hay. Objectives To compare the efficacy of alfalfa pellets and steamed hay in improving lung function and inflammation of horses with severe asthma (SEA). Study Design Controlled crossover study. Methods Ten horses with SEA were enrolled and nine completed the study. Horses were housed indoors and fed hay. Once in exacerbation, they were fed pellets and steamed hay for 4 weeks, in a crossover design. Weighted clinical scores and lung function were recorded weekly. Bronchoalveolar lavage fluid (BALF) cytology and mucus scores were recorded before and after each diet. Results Based on linear mixed model (LMM) analysis, weighted clinical scores significantly improved over time ( p < 0.001, no diet effect or time‐diet interactions). With pellets, weighted clinical scores decreased from (median (interquartile range)) 13 (5.5) to 2 (1.5), while with steamed hay, they decreased from 10 (9.5) to 6 (8.5). With pellets, lung resistance decreased significantly from a baseline of (mean (SD)) 2.62 (0.77) cmH 2 O/L/s to 1.17 (0.66), 0.79 (0.54), 0.70 (0.20), 0.62 (0.18) on Weeks 1–4, respectively (LMM with post hoc tests, p < 0.001). With steamed hay, the resistance decreased significantly from a baseline of 2.34 (0.93) cmH 2 O/L/s to 1.38 (0.49) and 1.51 (0.66) on Weeks 1 and 2, respectively ( p < 0.03). Neutrophils BALF decreased significantly with both diets (pellets: 40.2 (24.4) to 20.1 (11.0) %; steamed hay 30.9 (20.2) to 25.7 (17.6) %; LMM, p = 0.006). Main Limitations A small number of horses in a research setting. Dust was not measured in the stalls. Conclusions Clinical scores, lung function and BALF inflammation of horses with SEA improved with steamed hay and pellets, but the effect on lung function was more pronounced with pellets.