My pony has a paddock with a run-in and two fans, with nice hay in the run-in. He also has grass areas in the shade. And yet he chooses to bake in the direct sun and heat every single day, all summer. He has a good bucus fly sheet, but even so, my previous horse stood glued to the fans inside the run-in 24x7 all summer would and not come out. It drives me NUTS. thanks.
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This reminds me of a mom in a tee-shirt reading, āPut on Your Hat, Iām Cold.ā
When I lived in SW New Mexico, I asked our vet about why the horses would sunbathe on burning hot sand, rather than hang in the breezy shade. She simply said, āSome horses are overbuilt.ā As I understood her, she meant that theyāre better equipped for extremes in all weather, especially when resting or walking, cold or hot.
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Because.
That is all.
He has the freedom to decide & picks 
Yesterday we had heat index of 105.
My pastures have no shade at all, but horses can go into stalls if they want anytime.
Barn is always a bit cooler & stalls are shaded from afternoon sun, plus a breeze comes in the open sliders at the front of the barn & all
sides of the attached indoor.
Yet, when I went out around 3ish to feed, all were in the small pasture, facing West.
Their choice.
Today itās marginally hotter - 96 āfeels likeā 116 now.
All were in stalls when I went to feed, same time.
I let them decide, even though I was dripping with sweat within minutes.
Theyāre sweating a bit, drinking & noone seems distressed.
Except me, Iām distressed! 
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I think the bugs are typically worse in the shade. Also some horses are idiots. Iāve had young horses overheat, just standing out in the sun. Some just arenāt smart enough to seek shade. My indoor cat overheated outside. My outdoor cats usually start looking for shade when it gets hot. The indoor cat that snuck outside had to have a dunk in the bathtub because he was standing in the sun and panting like a dog.
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I board at a small private farm. 3 boarders. All 3 horses are PPID and/or IR. They have turnout w/o much grass and access to their stalls with fans. The other two never leave their stalls and hang their heads in the fan. My Arabian is out all day. Itās too hot for me and heās out there in the full sun happy as a clam. He hates his fan and will deliberately stand out of its draftā¦
I gave up. If they get to decide and thatās what they choose, I let them do their own thing.
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I have seen my boys in their sheds on the most beautiful days of the year --and yet when it is sleet/snow/freezing cold, they are on the hill digging through the snow for grass instead of toasty in their sheds. I have 1/3 wooded pastures --it seems to me the boys graze in the shad or stand int he shade on these hot days. Yesterday, I was going to put everyone in with fans on --but decided against since the all seemed quite happy in their grassy pastures.
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My horses always have shade, shelter, water, and salt available. They even have good grazing available under shade. Still, they insist on standing out in the blazing sun until theyāre about to pass out. One day this week we had 100 degree temperature with 80 percent humidity and no breeze. The heat index was at least 122, and probably higher in the pasture with all the humid grass. I went out about noon to check on them and they were literally dripping sweat all over their bodies and breathing hard as though they had been running. I put them in their shady corral and hosed them down, and they were fine. But why, why, why donāt they have sense enough to get out of the sun when itās this bad??? Finding them this stressed from the heat scared me, and since then Iāve been putting them in their shady paddock from mid-morning til late afternoon.
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But it just seems there must be a reason.?.
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I think with my horses the reason is āI gotta eat this grass even if I die from heat stroke.ā
Iāll be so glad when this ghastly summer is finally over.
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I wonder how much of their survival skills are learned from the herd and their mothers in the wild. If they grow up stalled and paddocked, they may never learn! A foal that doesnāt follow its mother out of the heat will be dead, so thereās that too.
Itās an interesting case of nature vs nurture, and how much basic survival instinct we might have bred out of some horses.
FWIW my horse and his buddies are basically glued into their run-ins, under fans and the bug spray system.
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No mosquitoes in the sun. I often stand there for that reason in the late summer when they emerge from the swamp and make the shade uninhabitable. Even if OP doesnāt have them the pony might have grown up with them.
Some horses are claustrophobic too, and feel more vulnerable in the confines of a stall/shelter than out in the open where they can see and flee more easily. My horse enjoys his stall and fan now, but it took him getting used to the new barn and being a bit less vigilant about his surroundings. I can tell heās been availing himself of his lavish amenities lately on some of these super hot/humid days (triple digits for us too) because when I come around 4:30-5:00 to feed, heās often cool and dry and totally content. He has anhidrosis, so I do tend to worry about a dry coat, but there is usually some dried sweat and his breathing is normal, which is not the case if he canāt sweat.
I find the bugs will drive mine into the stalls with fans more than the heat anyway. And the bugs where I am have gotten decidedly worse lately, though Iām not sure why. They werenāt bad most of the summer, and nowā¦crazy.
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Third day of 107+ heat index at the barn I work at. Of the horses that are on 24/7 turn out or day turn out 90% stood outside grazing all day. Most were dripping sweat, but they all had access to water and shade. Except the one who flipped his water trough and was offended I dared to refill it. š¤·š¼
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It makes sense that the bugs drive them into the run-in more than heat. And the flysheet, I guess heās āwearingā his run-in shed.
My horses never get out of the heat. They get inside due to the big horse flies and the green headed flies. Otherwise they stay out by choice no matter how hot it gets.
I guess your pony isnāt bothered enough by bugs to use the shelter.
The answer is: horses be crazy!
I have two PPID horses (and one is also IR). They have a barn overhang (like a run in), a huge oak tree and sand rolling area, and full sun in their paddock as well as shade and āgrazingā in a grass area (as if thereās anything but dried, brown, drought stricken dead grass there!), so one chooses to stand all day, every day under the shelter (far fewer flies and mosquitoes there) while the other moseys around, āgrazingā away in the blazing sun, rolling in the sand, standing for awhile in the shade of the overhang, then in the full sun in the sacrifice areaā¦ The āshade all day guyā is a warmblood, bay. The āfull sunā guy is a chestnut roan Paint, if that makes any difference. No fly sheets as bay boy overheats and chestnut boy shreds his clothes.
Some horses just donāt like standing around where they cannot see their surroundings. I have a mare that will stand in the pouring rain and 110 degree heat because she is too nervous to remain in the barn. She was born in a pasture and she prefers to be able to see predators coming. My other two wonāt come out of the barn for anything. Just personal preference.
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