Equine water treadmills (WTs) are increasingly being found in research and therapy centers and private competition yards. However, the programs incorporating WT exercise for training and rehabilitation of horses are mainly based on anecdotal evidence due to the lack of scientific evidence available. This review aims to evaluate what is currently known about WT exercise for horses drawing on what is known from human and canine investigations. Studies of WT exercise have demonstrated that water depth, temperature, and speed have a significant effect on physiological responses in humans. The physiological studies in horses show many similarities to human responses with much evidence demonstrating that WT exercise is an aerobic form of exercise which does not appear to induce improvement in aerobic capacity when used within training programs. Equine and canine studies have shown that water depth can have a significant effect on the biomechanical responses to WT exercise, but little is known about the effect of different speeds at the various water depths. Key areas we would recommend for future research are as follows: how combinations of water depth and speed alter equine biomechanics compared to overland exercise, determination of long-term benefits of WT exercise, and how to use WT for rehabilitation for horses with specific injury.