The animals were injured in the making of the show starring Dustin Hoffman.
PETA said it “repeatedly reached out” to HBO before filming to offer safety advice but was “rebuffed”.
HBO, which worked with the American Humane Association, said both were “committed to ensuring all necessary safety procedures” were in place.
Luck, conceived by NYPD Blue creator David Milch, is billed as “a provocative look at the world of horse racing – the owners, gamblers, jockeys and diverse gaming industry players”.
AHA’s standard “no animals were harmed” statement was removed from the credits of both episodes.
The AHA said both racehorses “stumbled and fell during short racing sequences”.
“The horses were checked immediately afterwards by the onsite veterinarians and in each case a severe fracture deemed the condition inoperable,” it added.
“The decision was that the most humane course of action was euthanasia.”
It listed a series of precautions taken including that each horse was “limited to three runs per day and was rested in between those runs”.
They included “the hiring of an additional veterinarian and radiography of the legs of all horses being used by the production”.
“HBO fully adopted all of AHA’s rigorous safety guidelines before production resumed.”
But, in a blog on its website, PETA said: “Perhaps if producers had considered the proved safety protocols that we would have suggested, these horses would still be alive.”
It added that “two dead horses in a handful of episodes exemplify the dark side of using animals in television, movies, and ads”.
It said it was now in discussions with HBO “about how to prevent even more deaths on the show”.
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