The one time I was attacked by a horror, it was on a soul contracted mage casting some ritual spell.
The horror that showed up wasn't a small one (I'm not sure if it was a Doom Horror, though: I'm thinking it was a regular Horror), but I felt confident because the target mage had a bodyguard of 5 Iron Dragons, one of my favorite units.
Combat begins, the dragons fly over and all attack the horror. The horror lives, and immediately flies past the dragons and attacks my mage, killing him instantly. End of battle.
IIRC, Iron Dragons have a decent bite attack, but I might have done better with bodyguards specialized in doing regular attacks rather than trampling. But I think the horror mark makes the horrors prioritize the marked being, even when already surrounded by enemies. So unless your bodyguards are going to kill the horror immediately the first round before it can move, I suspect you're a goner unless the target victim is tough enough to hold up for a few rounds against the horror.