In young people, interactions with horses may contribute to the development of social skills and self-efficacy. Our aim was to identify relationships between psychological variables and young people’s experience of activities with horses. Participants in this study were 13-15-year-old adolescents (n = 25), given a 4-month intervention consisting of weekly sessions of stable work and horseback riding. We investigated the relationship between psychological variables from survey data with video-recorded behavioral observations during tasks and contact with horses. From the behavioral data, we calculated the frequency per hour of “trying again” when met with a challenge, as a measure of participants’ persistence in horse-related tasks The number of times per hour that that participant initiated contact with the horse was used as a measure of frequency of physical contact (petting). We examined correlations between the change from early to late stages of the intervention in trying again during horse-related tasks and for physical contact and three psychological variables measured prior to the intervention: perceived social support, self-esteem, and general self-efficacy. We detected an association between lower pretest levels of perceived social support and general self-efficacy, and an increase during the intervention in persistence of trying again when met with challenges during tasks with the horse. In a linear regression analysis, controlling for initial levels of persistence during horse-related tasks, self-esteem, and self-efficacy, social support was the only unique predictor of an increase in persistence during the intervention. No association was found between the psychological variables and change in frequency of petting the horse. The results indicate that adolescents with lower levels of perceived social support at the start of the intervention showed greater increases in their persistence in trying again after being met with challenges during horse-related tasks. Since persistence is a central aspect in the development of mastery of tasks, the possible positive social impact of the horse/stable environment should be given more attention in future intervention research.