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The 2 year old filly became loose before running into the road where she was hit by a car.
It happened in Newmarket at the junction of Hamilton Road and Rowley Road just before half 9 yesterday morning.
The horse, Jessica Ennis is named after the World Heptathlon Champion and was due to make her début at Newmarket this Saturday.
The rider and car driver were not injured in the crash but will be speaking to police later today.