Negative affect is known to cause individuals to interpret ambiguous stimuli ‘pessimistically’, exhibiting an increased expectation of punishment. Here, we hypothesised that horses suffering from poor welfare conditions would show more pessimistic judgement biases compared to horses with a better welfare state. We compared 36 horses living either in either restricted, riding school conditions (two sites) or in more naturalistic conditions (one site). The welfare of the horses was assessed by recording health-related and behavioural measures. All horses were also trained on a spatial judgment task during which they learnt to expect edible food in one location and unpalatable food in another. Judgement bias was tested using three ambiguous locations intermediate between the trained locations. A strong site effect was found: the horses living in the site characterized by the highest levels of behavioural and health-related problems exhibited a clear pessimistic bias when judging ambiguous stimuli, whereas the horses living in more natural conditions, associated with a good welfare state, showed an optimistic bias.This study is the first to reveal a link between poor welfare and pessimistic judgement biases in domestic horses, and reinforces existing data suggesting that horses in some riding schools may suffer from poor welfare.