Modern day horse–human relationships entail different types of sport and riding activities, which all require learning. In evaluating the interaction between learning and emotions, studying normal coping strategies or adaptive responses to the surroundings is critical. 34 horses were involved in a cognitive test, in the absence of physical effort, to analyze performance, as well as physiological and behavioral responses related to learning, memorization and recall, associated to the capacity to reverse a learned model. Synthetic Equine Appeasing Pheromone (EAP) was used in 17 horses in order to modulate their emotional state and evaluate differences in cognitive–emotional response during cognitive effort in comparison to the control group (placebo group). Both groups showed statistically significant changes in heart rate during the test, indicating emotional and physio-cognitive activation. The EAP group produced fewer errors and made more correct choices, showing behaviors related to increased attention, with less influence from environmental stimuli. The capacity to learn to learn, as shown in the bibliography, allows animals to establish conceptual learning, when a normal or positive emotional state (in this case modulated by semiochemicals) is used to control limbic system activation and, consequently, decrease stressful/fearful reactions, resulting in better learning capacities during the cognitive test.