Steaming hay is increasingly used to treat low-quality forage because it was proven to reduce inhalable allergens such as mould spores, bacteria, and airborne dust particles. Preliminary results have shown a substantial loss of precaecal (pc) digestibility (D) of crude protein (CP) and amino acids (AA). For this purpose, six different batches of hay from central Germany were divided into four subsamples, and each one was individually steamed. Native hay and four replicates of each steamed subsample were analysed for CP, AA, neutral detergent insoluble crude protein (NDICP), neutral detergent soluble crude protein (NDSCP) as well as pepsin insoluble CP (piCP). Based on the analytical parameters, pcD of CP, protein solubility (PS), piCP (% CP) and precaecal digestible (pcd) CP and pcdAA contents were calculated. Selected Maillard reaction products (MRP), namely furosine and carboxymethyllysine (CML), were also analysed. Steaming did not affect CP content (native = 69, steamed = 67 g/kg dry matter, DM; p > 0.05), but it had an impact on the insoluble part of CP. Thus, NDICP increased by 57% (native = 27, steamed = 42 g/kg DM; p < 0.05) and piCP by 15% overall (native = 40, steamed = 46% of CP; p < 0.05). This could be a consequence of the heat damage and the associated increase in MRP. The content of furosine rose by 67% (native = 17.6, steamed = 29.4 mg/100 g DM; p < 0.05). The content of CML increased by 120% (native = 5.1, steamed = 11.3 mg/100 g DM; p < 0.05). We chose to analyse these two MRPs because they represent the reaction products with the limiting AA lysine. In contrast, the soluble fractions of CP declined, while PS as a percentage of CP decreased by 38% as a result of the treatment, and NDSCP was reduced by as much as 41% (p < 0.05). In line with this, the steaming process decreased the pcD of CP (native = 56%, steamed = 35%; p < 0.05) and pcdCP (native = 37.9, steamed = 22.5 g/kg DM; p < 0.05), respectively. The same effects were shown for selected AA; e.g., sulphuric AA pcd methionine plus pcd cysteine decreased by 45%, pcd threonine decreased by 41%, and the limited AA pcd lysine decreased by more than 50% (p < 0.05). In conclusion, the high temperatures generated during steaming lead to protein damage and consequently to a reduction in the pcD of CP and essential AA. Nevertheless, steaming successfully reduces viable microorganisms and binds dust particles. Therefore, steamed hay is still a proper and sometimes the only possible roughage for horses suffering from respiratory diseases such as equine asthma. Essentially, horse diets based on steamed hay should be balanced accordingly.