What do horses and other animals do when a tornado hits? Assuming the horses are free to
go wherever.
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it seems like a terrible thing but I guess they get used to it. 
Sorry about that. 
They generally will stick together as a herd and try to run out of the way. If it is a big one, like the recent one in OK, they probably won't be able to escape without a good head start. Horses inside and out were killed by the direct hit (one of their caretakers turned as many loose as he could so they would have a chance) although a 3 year old survived inside. She was heard the next day calling from where she was trapped in her stall. The roof had caved, but apparently it left a large enough area underneath for her to fit without being broken.
Horsepeople tend to be mixed on whether it's best to keep them in or out. Studies show that out is best, but in a really big one, it pretty much doesn't matter.
They will run as a herd, and in a big one get picked up as a herd and dropped in a heap. There was a horrifying picture after OK of a pile of dozens of dead horses 
A cyber horse acquaintance had a direct hit by a small tornado in Virginia a few years back. Her 3 mares were huddled in a runout shelter in their pasture when she last saw them before the tornado. After the tornado, they were on the far side of the pasture huddled together, ok, but the elderly mare was very stiff and sore afterward, so she thinks they were picked up and dumped there. Their halters had been sucked right off their faces 
Another one had her new barn unfinished when a hurricane was striking, so she brought her mares into her kitchen. I can't remember now what she said lined the floors with, but there was no way she was leaving her girls out in an unfinished building...
