© 2020 by the authors. Licensee MDPI, Basel, Switzerland. Horse trainers and riders may have preconceived ideas of horse temperament based solely on the sex of the horse. A study (n = 1233) of horse enthusiasts (75% of whom had more than 8 years of riding experience) revealed that riders prefer geldings over mares and stallions. While these data may reflect different sex preferences in horses used for sport, they may also reduce the chances of some horses reaching their performance potential. Further, an unfounded sex prejudice is likely to contribute to unconscious bias when perceiving unwanted behaviours, simplistically attributing them to demographic characteristics rather than more complex legacies of training and prior learning. The current study analysed reported sex-related behavioural differences in ridden and non-ridden horses using data from responses to the pilot study of the Equine Behaviour Assessment and Research Questionnaire (E-BARQ) survey. Respondents (n = 1233) reported on the behaviour of their horse using a 151-item questionnaire. Data were searched for responses relating to mares and geldings, and 110 traits with the greatest percentage difference scores between mares and geldings were selected were tested for univariate significance at p < 0.2. Multivariable modelling of the effect of sex (mare or gelding) on remaining traits was assessed by ordinal logistic regression, using a cumulative proportional log odds model. Results revealed mares were significantly more likely to move away when being caught compared to geldings (p = 0.003). Geldings were significantly more likely to chew on lead ropes when tied (p = 0.003) and to chew on rugs (p = 0.024). However, despite sex-related differences in these non-ridden behaviours, there was no evidence of any significant sex-related differences in the behaviours of the horses when ridden. This finding suggests that ridden horse behaviour is not sexually dimorphic or that particular horse sports variously favour one sex over another.