Here's the story at Entertainment Weekly. They didn't die during the actual filming.

The Hobbit production has always instituted swift and immediate investigations in to any concerns of any kind over the treatment of animals under its care. A prompt and thorough investigation into the recent unsubstantiated allegations by the American organisation, PETA, in to the ‘hobbling’ of a horse during the making of The Hobbit was undertaken. No evidence of such a practice was found to have occurred at any time. Further, the production contacted the owner of the horse concerned who provided the following statement: “I am 100% happy with the return of Shanghai and his condition. In the term that he was leased he was picked up and returned to me two times. On both occasions there was not a mark on him and he was healthy and happy. He has shown no signs of ill-treatment. I would not hesitate in leasing him to the movie again.”
To date, the only horse wranglers whose treatment of animals fell below the production’s standard of care seem to be the two wranglers who have chosen to level this new accusation on the eve of the premiere of the first Hobbit film and who were dismissed by the production over a year ago. Reports of their actions are documented in several written statements dating back to October 2011.

The production regrets that PETA has chosen to make such a serious accusation, which has distressed many of the dedicated Kiwis who worked with animals on the films – including trainers, wranglers, care-givers, farm workers and animal health care professionals - without properly vetting the source from which they received this information.

The producers of The Hobbit take the welfare of all animals very seriously and have always pursued the highest standard of care for animals in their charge. Any incidents that occurred that were brought to their attention as regards to this care were immediately investigated and appropriate action taken. This includes hundreds of thousands of dollars that were spent on upgrading housing and stable facilities in early 2011.

The producers completely reject the accusations that twenty seven animals died due to mistreatment during the making of the films. Extraordinary measures were taken to make sure that animals were not used during action sequences or any other sequence that might create undue stress for the animals involved. Over fifty five per cent of all shots using animals in The Hobbit are in fact computer generated; this includes horses, ponies, rabbits, hedgehogs, birds, deer, elk, mice, wild boars, and wolves.

The American Humane Association (AHA) was on hand to monitor all use of animals by the production. No animals died or were harmed on set during filming.

We regret that some of these accusations by wranglers who were dismissed from the film over a year ago are only now being brought to our attention. We are currently investigating these new allegations and are attempting to speak with all parties involved to establish the truth.

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