We study the definability of convex valuations on ordered fields, with a particular focus on the distinguished subclass of henselian valuations. In the setting of ordered fields, one can consider definability both in the language of rings L_r and in the richer language of ordered rings L_or . We analyse and compare definability in both languages and show the following contrary results: while there are convex valuations that are definable in the language L_or but not in the language L_r, any L_or-definable henselian valuation is already L_r-definable. To prove the latter, we show that the value group and the ordered residue field of an ordered henselian valued field are stably embedded (as an ordered abelian group and an ordered field, respectively). Moreover, we show that in almost real closed fields any L_or-definable valuation is henselian.