The animals, Fenix Two and Marching Song, both started to wobble and then collapsed in front of punters.
Early reports indicated the horses died from an electric shock, but a post-mortem will be carried out.
Former champion jockey Graham Thorner, part-owner of Marching Song, told Sky News what happened.
"One horse was behaving very strangely, and I thought, it's just got overheated - as racehorses do," he said.
"Then mine started to behave most extraordinary. I couldn't work out why.
"So I told my lad to move on, keep them going.
"He went 50 yards and (the horse) did exactly the same thing - (he started) kicking out.
"Then he went down and I thought, oh my God he's having a heart attack."