Personality is defined as the tendency to express similar behaviours across situations and time. Two main groups have been highlighted depending on the reaction of the animal in stressful situations. In this exploratory study, we aim at finding new personality tests and stress indicators to better distinguish between “active” and “passive” individuals. We tested 46 horses with seven personality tests triggering different levels of stress. We recorded behavioural and physiological parameters. We performed a principal component analyse which highlighted several groups of behaviour that had a great influence. The head position, the locomotor activity, the ears position, and the heart rate variability thus seem to be the most important indicators. We also performed an ascending hierarchical classification to classify our individuals in groups. Three main groups were highlighted and highly correlated to those made by the experimenter. This allowed us to validate subtle indicators of stress in “passive” animals as well as the use of several tests to distinguish coping style in horses.