Striker Horsfield, 33, scored twice in 15 appearances, and he was due to stay until the end of January but will return to Sheffield United early.
Horsfield has been told he does not figure in Dennis Wise's plans and neither does former captain Paul Butler who has been released after a loan spell at MK Dons.
Middlesbrough defender Ugo Ehiogu and Fulham keeper Tony Warner have both returned to their parent clubs. Ehiogu made six appearances for Leeds, while Warner, who returns to Cottage Road as cover for the injured Antti Niemi, turned out 14 times.
Butler calls time on his career at Leeds having signed for the club in the summer of 2004.
The 34-year-old, who was one of former manager Kevin Blackwell's first signings and made 106 appearances for the club, is free to join another club on a permanent basis.