Desensitizing a horse to gunfire is a progression that should never be rushed, and the foundational principle is to always stay well below the horse's threshold of concern before adding intensity. Begin on the ground, not in the saddle: start with cap guns or snappers at a distance — many trainers begin with the horse in a round pen and the handler snapping a cap gun 30 to 50 feet away while the horse moves freely. Watch the horse's response: a horse that flicks an ear and returns to grazing or forward movement is below threshold; a horse that bolts, freezes, or shows sustained tension needs more time at that level. Gradually decrease distance and increase sound intensity over multiple sessions. Progress to .22 blanks before moving to the louder .45 blanks used in competition. Never fire from the saddle until the horse is rock solid with firing from the ground alongside it, and never fire while the horse is tense or spooky that day — if the horse is already reactive, put the gun away and do ground work. The first mounted shots should happen at a standstill before any speed is added. Horses that experience a frightening gunfire event early in training often develop lasting aversion; taking an extra month to build solid desensitization is always worthwhile.
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Watch: How to Introduce Your Horse to Gunfire Safely and at What Pace

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Clinton Anderson: Problem Horse Training — How to Introduce Your Horse to Gunfire Safely and at What Pace
Downunder Horsemanship