Mild–moderate equine asthma (MEA) is a very common but underdiagnosed pulmonary disease in horses, with mild cases not showing clinical respiratory signs. This study evaluates the influence of a standardized lunging exercise test (SLET) on bronchoalveolar lavage fluid (BALF) cytology in MEA horses. We hypothesized that SLET would increase the total nucleated cell count (TNCC) and/or percentages of inflammatory cells associated with EA. In a prospective, randomized, non-blinded, between-subjects study design of two independent groups, 39 horses (17 mild and 22 moderate) were included. They were chosen out of a cohort of horses undergoing respiratory investigations (history, clinical examination, and clinical pathology (white blood cells (WBC) and arterial blood gas analysis (aBGA)) consistent with MEA, using a scoring system in a clinical setting of an equine referral clinic. Bronchoalveolar lavage (BAL) was performed 30 min post-SLET in 16 randomly chosen horses. The other horses underwent BAL without SLET. The SLET resulted in a statistically significant increase (p < 0.001) in the proportions of neutrophils in BALF cytology, and in an increased chance of confirmation of the presumed diagnosis in horses with mild phenotypes (p < 0.001, OR = 8.00, CI = 1.28–50.04), while moderate phenotypes were less frequently diagnosed. Exercise had no association with cytology across all horses. Unexpectedly, the SLET group of horses with a moderate phenotype had a statistically significant lower TNCC (p = 0.035). In conclusion, an SLET prior to BAL might increase the chance of an MEA diagnosis.