Ensuring horse welfare is a central aim in equestrian activities. Training is an important context for welfare, as horses form long-lasting representations of people and actions at a young age. However, only a few studies have addressed horses’ emotional responses during early training with humans. In this study, we followed N = 19 young horses, including naïve yearlings and more experienced two- to three-year-olds, through five foundation training sessions over nine months. Our goal was to combine physiological and behavioral measures to assess emotional responses to early foundation training. Specifically, we measured salivary oxytocin (sOXT) in N = 100 samples and salivary cortisol (sCORT) in N = 96 samples before and after training sessions. We also recoded behavioral responses during training. Changes in sOXT during training predicted individual variation in behavioral responses: Horses who showed more affiliative human-directed behaviors during training had increases in sOXT, while horses who showed more behavioral indicators of discomfort during training had decreases in sOXT. Salivary cortisol was not related to individual behavioral responses, but experienced horses had lower sCORT concentrations both before and after training, and all horses showed decreases in sCORT and in behaviors indicative of fear or discomfort as training progressed. In addition, sCORT increased during longer training sessions, consistent with the established role of cortisol in responding to physical stressors. We conclude that individual variation in positive or negative behavioral responses to foundation training corresponds with acute changes in sOXT concentrations in young horses, suggesting that sOXT may be useful as a non-invasive indicator of emotional responses in young horses.