Although The Horse You Came In On is set for the most part in America, many English characters from previous novels in the series appear in scenes before and after the trip to Baltimore taken by Jury, Plant, and Wiggins. A returning character with an important role is Ellen Taylor from The Old Silent (1989), a Baltimore writer in whom Plant is romantically interested. Ellen is an award-winning novelist through whose character Grimes parodies modern novels and the writing process; murder victim Beverly Brown, discoverer of what is possibly an unknown Poe story, was one of Taylor's students at Johns Hopkins.

As she does in all her novels, Grimes includes a spirited, independent, and intelligent child among her characters.

Jip, age twelve, is a orphan whose aunt owns an antique shop. In this shop Beverly Brown had bought a trunk and found there the Poe manuscript. Other memorable minor...