Proper training improves the horse’s performance. In the present study, blood transcriptome of the Yili horse was analysed before and after training. Overall, six Yili horses were trained for 3 months; blood samples at rest were collected before and after the training period. Transcriptome libraries were created from the blood samples using high-throughput sequencing; Gene Ontology functional enrichment and Kyoto Encyclopaedia of Genes and Genomes pathway analyses were performed for differentially expressed genes to identify the pathways and candidate genes associated with training and locomotor performance. In total, transcriptome analysis screened 33 significantly differentially expressed genes; of these, 23 and 10 were up-regulated and down-regulated after training, respectively. These differentially expressed genes were significantly enriched in metabolic pathways associated with exercise physiology, including sphingolipid metabolism, tryptophan metabolism, and the cGMP-PKG signalling pathway. The results of this study provide a theoretical basis for exploring the molecular mechanisms underlying locomotor performance of the Yili horse as well as a novel insight into the kinematics of this breed.