Heavy rain in Cadiz, Spain, interrupted the first round before the second was unable to be finished at the La Reserva de Sotogrande Club de Golf.
Horsey is four under through 15 holes, while Warren completed his five-under 67 on Friday.
The duo are at five under overall, but have a trio behind them who could hold the lead at the halfway mark.
Chilean Felipe Aguilar (69), Spaniard Adrian Otaegui (three under through 15) and Welshman Bradley Dredge (two under through 12) are a shot back.
Warren said he expected the strong winds to continue to make life difficult for players.
"I have been playing well the last few weeks, getting stronger and stronger, so I was really looking forward to this event," he said.
"It's like a bonus event for us, coming at the last minute, and I am pleased to see how good the course actually is. I'm looking forward to the next two days.
"I like the course very much. If it was a perfect weather it would still be a good test, but with the strong winds we have here it gets really tough at times."
First-round leader Jack Doherty of Scotland carded a two-over 74 to be at one under and in a tie for seventh.