Small farms and smallholder farming systems play crucial roles in agricultural development in many developing countries. From the various rural development programs designed to support such farming systems, agricultural extension services are of at most importance. However, the benefit that farmers obtain from these services and the resulting impact depends, to a great extent, by their direct and indirect participation in the services. In this paper, we examined the predictors of participation in agricultural training and demonstration in Haramaya district of eastern Ethiopia. By collecting data from 180 rural households, and employing the Poisson regression, we found that several factors explain farmers’ differential participation in agricultural training and demonstration. In particular, financial capital (farm income, credit), physical capital (value of livestock, value of household asset), and access to services (e.g., veterinary, experience with extension) were significant predictors of participation in agricultural training. Concerning demonstration, human capital (age), physical capital (asset, land), financial capital (farm income, off-farm employment), social capital (networks), and access to services had a significant effect. Based on the findings, some implications for inclusive targeting by agricultural extension programs were put forward.