Equids slaughtered for human consumption in many countries are stunned with penetrating captive bolt (PCB) to produce an irreversible state of unconsciousness to prevent pain and distress before exsanguination. This topic is much-studied for the most commonly slaughtered species, while literature remains limited on Equidae, particularly donkeys (Equus asinus). This study, in a Mexican commercial abattoir, examined the effectiveness of pneumatic PCB stunning with electroencephalographic (EEG) and behavioural signs in 13 donkeys. Forty-six percent (6/13) of donkeys had periods of ‘normal-like’ EEG after PCB stunning, between 1 to 9 s in duration. However, in all animals, this changed to either ‘transitional’ EEG or ‘isoelectric’ waveforms. The normal-like EEG phases were characterised by increased theta, alpha and beta activity in the EEG power spectrum. Just one donkey showed behavioural signs of incomplete concussion after stunning, showing both rhythmic breathing and spontaneous blinking, alongside normal-like EEG. In addition, four animals did not reach isoelectric EEG during the 30 s of recording. Shot position frequently deviated caudally from the suggested position and this was significantly associated with the presence of normal-like EEG and behavioural signs. These results highlight welfare concerns related to delayed or incomplete loss of consciousness in these animals, indicating the need for species-specific stunning guidelines. In conclusion, EEG is a useful research tool to substantially assist in understanding the risks of a potential return of consciousness after stunning. This could help to refine ideal airline pressure, shot position and validate behavioural signs that better evaluate consciousness in donkeys.