An animal’s welfare depends on an individual’s capacity to adapt to the environment in which it lives. This adaptation is directly associated with the quality of the environment and to the possibility of expressing natural behaviours. Horses kept in stables often display a range of abnormal behaviours related to lack of control over their environment, which can lead to behavioural and health problems. An individual’s personality also plays an important role in its susceptibility and resilience to the development of diseases and abnormal behaviour; thus, an evaluation of horses’ personalities could be crucial to selecting individuals best able to cope with different work activities. This study aimed to assess the well-being of police horses maintained in a semi-confinement regime in Brazil by associating their personalities to the occurrence of abnormal behaviours and disease. Using a non-invasive approach, different tests were performed to investigate the horses’ behaviour, personality and welfare. A frustration test and a novel object test were conducted with 46 horses and the individuals’ personalities were assessed using questionnaires and behaviour tests. In addition, we evaluated their physical health through a survey of their veterinary records. The data for horses were evaluated individually. The results demonstrated the occurrence of multiple abnormal behaviours motivated by factors such as diet and lack of social contact. Moreover, the personality tests indicated this is an important component when evaluating welfare, since correlations were found between personality traits and abnormal behaviour expression, and between personality traits and health problems. According to our results, passive, stubborn, and confident horses are better suited to be selected as police horses. The ability to classify horses according to their personalities could help in selecting horses most suitable for patrolling, thereby helping to reduce behavioural problems and increasing animal well-being.