Horncastle on Wikipedia.

A History of Horncastle from the Earliest Period to the Present Time by James Conway Walter (1908) is available on Wikipedia here.
 

Cemetery Chapel (1888) in the cemetery on Boston Road. TF 2637 6861. © David Regan (2020). Grade II listed.

Congregational Chapel on Queen Street. This source (scroll down to The Independents - it includes an old interior photo) dates the chapel to the 1820's or 1830's. TF 2614 6952. © David Regan (2020).

Genuki attests to a Roman Catholic Chapel - Corpus Christi - on Banks Street. The map included in the entry isn't sufficiently detailed to determine even on which side of the road it stood, although the south side may be preferred (the indicator may even just be indicating the street itself), and I've been unable to find any other map showing the chapel. I've also not found anywhere with any history, or even dates for this chapel. However, if the map indicator is accurate, then the chapel may have stood either here (because old maps show buildings here, now a car park), or here (where there are relatively modern buildings). This grid reference mirrors the map on Genuki - TF 2610 6960. Both © David Regan (2020).

Holy Trinity. This history dates it to 1847-8. TF 2630 6951. © David Regan (2020). Grade II listed.

The Methodist Church on Queen Street. TF 2614 6944. The Church website (select the Horncastle button) advises that a Wesleyan Chapel was first built on The Wong or Cagthorpe in 1786, and replaced on the same site in 1806. This too was replaced on the present site on Queen Street in 1837, followed by another in 1870 (which closed in 1962), with the present church opening in 1965. The site of the first two chapels can't be identified from any maps I have access to. This source includes some photos of the predecessor of the present church; this one has another. © David Regan (2020).

The site of the New Jerusalem Church (Swedenborgian) on Croft Street, which opened in 1873 (history, includes a photo). TF 2612 6933. © David Regan (2020).

The former Primitive Methodist Chapel (1853) on Prospect Place (now Street). This website advises that it had two predecessors on Watermill Yard (1821) and Watermill Road (1837). I've not been able to identify the site of either building. Its My Primitive Methodist entry however, dates the two earlier chapels as dating from 1821 and 1835. It includes a photo claiming to be of the latter. © David Regan (2020).

St. Mary. TF 2585 6955. © Dave Hitchborne. Another view, © David Regan (2011). Two interior views - 1, 2, the chancel, and the font, all © David Regan (2018). Link. Grade II* listed.

Salvation Army Headquarters on The Wong is the former Baptist Church of 1767. This source attests to the S. A. presence in 1970. TF 2586 6932. © David Regan (2020). A good history of the Baptist Chapel here. Grade II listed.