Donkeys and horses differ substantially in their evolutionary history, physiology, behaviour and husbandry needs. Donkeys are often kept in climates that are colder and wetter than those they are adapted to and therefore may suffer impaired welfare unless sufficient protection from the elements is provided. We compared the shelter-seeking behaviours of donkeys and horses in relation to temperature, precipitation, wind speed and insect density. Our study collected 13,612 day-time data points (location of each animal, their activity such as feeding, resting, moving, etc., and insect-related behaviours) from 75 donkeys and 65 horses (unclipped and un-rugged) with free access to man-made and natural shelters between September 2015 and December 2016 in the South-West of the UK. Each animal was observed at least once a week, with an average of 65 observations per individual overall. Even though the UK climate is quite mild (1 to 33 degrees Celsius in our sample), the preliminary results showed clear differences in the shelter seeking behaviour between donkeys and horses. Overall donkeys were observed far more often inside their shelters than horses (χ2(1)=1,783.1, P<0.001). They particularly sought shelter when it was raining: there was a 54.4%-point increase (35 to 89.4%) in the proportions of donkeys sheltering in rainy conditions, in comparison to a 14.5%-point increase in horses (9.6 to 24.1%). Results of binary logistic regressions indicated that there was a significant association between species, precipitation and shelter-seeking behaviour (χ2(3)=2,750.5, P<0.001). Horses sought shelter more frequently when it got hotter, whereas donkeys sought shelter more often in colder weather (χ2(3)=2,667.3, P<0.001). The wind speed (range 0 to 8 m/s – calm to moderate breeze) had an effect on location choice, and this again differed significantly between donkeys and horses (χ2(3)=1,946.5, P<0.001). In a moderate breeze, donkeys tended to seek shelter whereas horses moved outside. The insect-related behaviours were closely related to temperature and wind speeds. The donkeys’ shelter-seeking behaviour strongly suggests that in temperate climates they should always have access to shelters that provide sufficient protection from the environment.