After studying piano and violin in San Francisco, he became musical director for the Denishawn Dancers (1915–25), where he encouraged company members—including Martha Graham, Doris Humphrey, and Charles Weidman—to develop their own dance styles. He accompanied Graham's solo debut in New York City in 1926 and remained with her as musical director until 1948, composing the scores for her early works Primitive Mysteries (1931), Frontier (1935), and El Penitente (1940).

Horst was on the staffs of the most notable American schools of modern dance: (modern dance) Neighborhood Playhouse School of Theatre, New York City (1928–64); Bennington College Summer Sessions (1934–45); Connecticut College Summer School (1948–63); and Juilliard School of Music (1951–64). Horst did not want the modern dance to develop without principles of structure and gave his students a background in such dance forms from the 16th and 17th centuries as the pavane and the galliard. To chronicle the development of American modern dance, Horst founded and edited the journal Dance Observer (1933–64). He also wrote Pre-classic Dance Forms (1937) and Modern Dance Forms (1961).