Intense exercise can cause inflammation and oxidative stress due to the production of reactive oxygen species. These pathophysiological processes are interdependent, and each one can induce the other, creating a vicious circle. A placebo-controlled blind study was carried out in show jumping horses (n. 16) to evaluate the effects of a commercial dietary supplement (Dolhorse® N.B.F. Lanes srl, Milan, Italy) containing Verbascum thapsus leaf powder (1.42%), Curcuma longa (14.280 mg/kg), and Boswellia serrata (Roxb ex Colebr) (14.280 mg/kg) extracts. Before and after 10 days of dietary supplementation, blood samples were collected to evaluate the protein levels, antioxidants, and inflammatory responses by proteomic analysis or real-time Reverse Transcriptase-Polymerase Chain Reaction (real-time RT-PCR). A total of 36 protein spots, connected to 29 proteins, were modulated by dietary supplementation, whereas real-time RT-PCR revealed a significant downregulation of proinflammatory cytokines (interleukin 1α (p < 0.05) and interleukin-6 (0.005), toll-like receptor 4 (p < 0.05), and IKBKB (p < 0.05) in supplemented sport horses. Immunoglobulin chains, gelsolin, plasminogen, vitamin D binding protein, apolipoprotein AIV, and filamin B were overexpressed, whereas haptoglobin, α-2-HS-glycoprotein, α2-macroglobulin, afamin, amine oxidase, 60S acidic ribosomal protein, and complement fragments 3, 4, and 7 were reduced. No effect was observed on the antioxidant defense systems. The present results suggest this phytotherapy may reinforce the innate immune responses, thus representing a valid adjuvant to alleviate inflammation, which is a pathophysiological process in sport horses.