Farm owner Betty Hahn told the Star Ledger newspaper that the horses had appeared in shows across the region.
"I'm so numb and so hurt that I can't cry. It would probably feel better if I could," she said.
She told the paper that the building was not insured, and said she would probably now sell the property.
State Police Sgt Brian Polite said the barn was engulfed in flames when emergency crews arrived at about 02:00 (07:00 GMT).
He said the fire was quickly put out, but all of the horses inside were killed.
Investigators are now trying to find out how the fire started, but police quoted in local media said it appeared to be an accident.