It was yesterday the final day in which clubs could buy or sell players, United chose not to buy anyone this time round after already brining in five new players during January.
Horsfield, 33 has joined the Walkers Stadium on loan until the end of the season. He is a prolific goal scorer, notching up 105 goals in 235 games.
Leicester City boss Rob Kelly said: "We have been after Geoff for a while, but we have not had the finances to do the deal.
"He gives us something different up front. He has a physical presence, experience and knows the division."
Meanwhile Sheffield United winger Kevan Hurst has joined Scunthorpe United on loan until the end of the season.
Elsewhere a number of former Blades players made moves from their respective clubs; defender Colin Cryan joined Boston United on a free transfer from rivals Lincoln City and Danny Cullip made the step up to the Championship after leaving Nottingham Forest for London outfit Queens Park Rangers.
Bruce Dyer, who netted once last season (v Reading) to help the Blades win promotion to the Premier League left Doncaster Rovers to be loaned out to Bradford City.