Two animals were spotted tethered to steps at St Swithun’s Road near St Paul’s roundabout, opposite student accommodation, and close to Asda in the early hours of Saturday, April 19.
A witness said she saw the horses at around 6am and later called the police after becoming concerned for their safety.
She said: “The poor things were shaking and nervous, with no water and no shade. It’s disgraceful – they were being harassed by people going past.”
“The horses appeared to be tied on short leads, with little room to move.”
She added: “If one of them got free, it would be straight onto the roundabout. It’s dangerous – I can see it’s not right.”
She said Dorset Police told her there was nothing they could do and recommended that she contact the RSPCA for advice.
“It’s not just upsetting – it’s illegal,” she added. “Someone needs to take responsibility for these animals.”
The RSPCA and Dorset Police have been approached for comment.
It is not known where the animals came from.