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They are two similar styled, but two very different games.

Horizon is the better game if you prefer Action / Adventure, almost flawless combat (more dynamic spear combat in the sequel), and simply craving something new and original (built upon established gaming concepts).

Zelda is the better game if you're looking for an Adventure / RPG, with survival elements, and taking your time and enjoying and experiencing a game world, with some great gameplay mechanics.

Two amazing games, which is better is simply down to preference.