This study was performed to evaluate the impact of dietary protein levels on nutrient digestibility and water and nitrogen balances in conditioning eventing horses. Twenty-four Brazilian Sport Horses, male and female (8.0 to 15.0 yr; 488 ± 32 kg BW), were used in a randomized design with 4 levels of CP diets: 7.5%, 9.0%, 11.0%, and 13.0%. A digestion assay was performed with partial feces collection over 4 d, followed by 1 d of total urine collection. Data were submitted to regression analysis and adjusted to linear and quadratic models (P < 0.05). No differences were observed in the intake of DM, OM, EE, ADF, and NDF as a function of dietary protein levels. Dry matter intake average was 1.7% of BW. CP and N intake showed a linear increase as a function of increasing protein level in diets. A quadratic response (P < 0.05) was observed on the CP and NDF digestibility coefficients, with the maximum estimated level of digestibility at 11.6% and 11.4% CP in the diet, respectively. There was a linear effect on ADF digestibility coefficients, digestible DM and protein intake, and CP/DE ratio according to dietary protein levels. There was no impact of dietary protein levels on daily water intake, total water intake, or fecal water excretion. Urinary excretion values showed a linear increase in response to increased dietary protein levels, but no impact was observed on water balance, with an average of 8.4 L/d. Nitrogen intake (NI), N absorption (NA), and urinary N increased linearly as a function of increasing dietary protein levels. There was no impact of dietary protein levels on N retention (NR), with an average of 7.5 g N/d. Nitrogen retention as a percentage of NI or NA showed no significant changes in the function of dietary protein levels. There was an impact of dietary protein levels on the digestibility coefficient of CP, NDF, ADF, and digestible protein intake on conditioning eventing horses. The 11.6% CP level in the diet provided an intake of 2.25 g CP/kg BW and 0.37 g N/kg BW, and this intake was the most appropriate for the conditioning of intensely exercised horses, considering the responses related to NI, NA, and the estimated NR to NA ratio. The NDF and ADF responses indicated that dietary fiber was more digested with an increased amount of N in the digestive tract.