Domestic donkeys descended from wild asses, adapted to the semi-arid climates of Africa, whereas domestic horses originate from more temperate areas of Eurasia. Despite this difference in evolutionary history, modern domestic equids can be found throughout the world, in a wide range of conditions, many of which are very different from their natural environments. To explore the protection from the elements that different equid species may require in the temperate climate of the UK, the shelter seeking behaviour of 135 donkeys and 73 horses was assessed across a period of 16 months, providing a total of 13513 observations. The location of each animal (inside a constructed shelter, outside unprotected or using natural shelter) was recorded alongside measures of environmental conditions including temperature, wind speed, lux, precipitation and level of insect challenge. Statistical models revealed clear differences in the constructed-shelter-seeking behaviour of donkeys and horses. Donkeys sought shelter significantly more often at lower temperatures whereas horses tended to move inside when the temperature rose above 20°C. Donkeys were more affected by precipitation, with the majority of them moving indoors when it rained. Donkeys also showed a higher rate of shelter use when wind speed increased to moderate, while horses remained outside. Horses appeared to be more affected by insect challenge, moving inside as insect harassment outside increased. There were also significant differences in the use of natural shelter by the two species, with donkeys using natural shelter relatively more often to shelter from rain and wind and horses seeking natural shelter relatively more frequently when sunny. These results reflect donkeys’ and horses’ adaptation to different climates and suggest that the shelter requirements of these two equid species differ, with donkeys seeking additional protection from the elements in temperate climates.