Rolling is a natural behavior of equids that is beneficial to their well-being. However, more intensive domestic environments offer fewer opportunities for animals to roll, neglecting its importance. We believe that the inclusion of recreational areas for animals, containing substrates and conditions that encourage the occurrence of natural behaviors, is essential to promote their well-being. Therefore, we evaluated the preference of horses (Equus caballus; n = 8) and mules (E. asinus x E. caballus; n = 8) for different rolling substrates (sand, grass, manure), and the influence of this behavior on thermoregulation after exercise. Horses rolled preferentially on grass, whereas mules preferred sand, both of which were cooler substrates when compared to manure. In addition, the temperature of the animals significantly reduced after rolling. Thus, horses and mules must roll for thermoregulation after exercise, choosing cooler and more efficient substrates for heat dissipation. The differences in preferences between mules and horses showed particularities between the equine species and its hybrid, which is important for management that is focused more on the individual animal.