This study aimed to assess the physical performance of Pantaneiro horses with and without equine infectious anemia (EIA) under functional conditions of cattle management. The horses were subjected to a performance test and split into two groups according to a completely randomized design: animals were chosen from populations testing positive and negative for EIA. Performance was measured as a function of a data envelopment analysis (DEA) model considering four outputs and one unitary input. The output measures were the distance achieved in the performance test, hematocrit as a weighted average over the test duration, respiratory rate as weighted average over the test duration, and the level of lactic acid at the test termination. Weights for the hematocrit and the respiratory rate output variables were determined by means of factor analysis. The performance score was a weighted average of the output variables with the weights defined by the averages of the optimum individual multipliers in the DEA analysis. Contextual variables of interest were age, horse weight, room temperature, and corporal temperature. Only groups and room temperature were statistically significant effects, as indicated by a bootstrap analysis. The performance of group positive for EIA is significantly lower than that of the group negative for EIA and room temperature has a negative effect.