Training has a huge effect on physiological homeostasis. The Thoroughbred racehorse is a valid animal model to investigate such changes for training schedule fine-tuning. As happens in human athletes, it is hypothesized that biochemical and immune response changes and related biomolecular variations could be induced by training programs. The aim of this study was to investigate, for the first time, the long-term metabolic and biomolecular modifications in young untrained Thoroughbred racehorses in the first 4-month timeframe training period. Twenty-nine clinically healthy, untrained, two-year-old Thoroughbred racehorses were followed during their incremental 4-month sprint exercise schedule. Blood collection was performed once a month, five times (T-30, T0, T30, T60, and T90). For each sample, lactate concentration, plasma cell volume (PCV), and hematobiochemical parameters (glucose, urea, creatinine, aspartate aminotransferase (AST), γ-glutamyltransferase (GGT), alkaline phosphatase (ALP), total bilirubin (Tbil), lactate dehydrogenase (LDH), creatine kinase (CK), cholesterol, triglycerides, albumin (Alb), total proteins (TPs), phosphorus (P), calcium (Ca2+), magnesium (Mg), sodium (Na+), potassium (K−), and chloride (Cl)) were determined. At T-30 and T90, serum protein electrophoresis (SPE), serum amyloid A (SAA), and real-time qPCR were performed on all samples to evaluate the expression of key genes and cytokines related to inflammatory and Th2 immunity responses: Interleukin-4 (IL-4), Interleukin-6 (IL-6), Interleukin-10 (IL-10), Interleukin-1β (IL-1β), Octamer-Binding Transcription Factor 1 (OCT1), B-cell lymphoma/leukemia 11A (BCL11A). Statistical analysis was performed (ANOVA and t test, p < 0.05). Significant modifications were identified compared with T-30 for PCV, glucose, triglycerides, cholesterol, lactate, urea, creatinine, Tbil, ALP, LDH, Na+, K−, Ca2+, SAA, TPs, SPE, IL-6, IL-4, Oct-1, and BCL11A. In conclusion, the first long-term training period was found to induce fundamental systemic changes in untrained Thoroughbreds.