Which should be fed first -- hay or grain? If you're feeding correctly, this issue is truly a moot point because the horse should have access to forage (hay and/or pasture) 24/7 with no gaps. Therefore, when fed concentrates, the horse's digestive tract should already have hay flowing through it.
If fed starchy cereal grains (oats, corn, barley, etc.) on an empty stomach, the horse will produce even more acid (potentially leading to ulcers) and it will be leave the stomach quickly. When this happens, there is a risk that it will not be fully digested in the small intestine (especially if large amounts are fed), and end up in the hindgut where starch can be fermented by the bacterial population. This can lead to endotoxin-related laminitis.
If hay is present in the stomach first, it creates a physical barrier for the grain to move out of the stomach as quickly. Starch does not get digested in the stomach so the grain is simply mixed and churned into a semi-liquid mass, which enters the small intestine where it can be digested down to glucose. If there is hay present, fiber mixes with the starch and the whole mass enters the small intestine. Fiber is not digested until it reaches the hind gut, but its presence slows down the digestion of starch, and obstructs the absorption of glucose into the bloodstream, leading to a less dramatic rise in insulin.
One thing to note -- there is more water involved when hay is present (from increased drinking and saliva production). This is a good thing since digestion within the small intestine cannot take place without water.
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