Detection times and screening limits (SL) are methods used to ensure that the performance of horses in equestrian sports is not altered by drugs. Drug concentration–response relationship and knowledge of concentration–time profiles in both plasma and urine are required. In this study, dexamethasone plasma and urine concentration–time profiles were investigated. Endogenous hydrocortisone plasma concentrations and their relationship to dexamethasone plasma concentrations were also explored. A single dose of dexamethasone-21-isonicotinate suspension (0.03 mg/kg) was administered intramuscularly to six horses. Plasma was analysed for dexamethasone and hydrocortisone and urine for dexamethasone, using UPLC-MS/MS. Dexamethasone was quantifiable in plasma for 8.3 ± 2.9 days (LLOQ: 0.025 μg/L) and in urine for 9.8 ± 3.1 days (LLOQ: 0.15 μg/L). Maximum observed dexamethasone concentration in plasma was 0.61 ± 0.12 μg/L and in urine 4.2 ± 0.9 μg/L. Terminal plasma half-life was 38.7 ± 19 h. Hydrocortisone was significantly suppressed for 140 h. The plasma half-life of hydrocortisone was 2.7 ± 1.3 h. Dexamethasone potency, efficacy and sigmoidicity factor for hydrocortisone suppression were 0.06 ± 0.04 μg/L, 0.95 ± 0.04 and 6.2 ± 4.6, respectively. Hydrocortisone suppression relates to the plasma concentration of dexamethasone. Thus, determination of irrelevant plasma concentrations and SL is possible. Future research will determine whether hydrocortisone suppression can be used as a biomarker of the clinical effect of dexamethasone.