World Animal Protection also condemned the incident, labelling the Melbourne Cup a "disgrace".
"The Melbourne Cup is the disgrace that stops a nation. It's heartbreaking to see another horse needlessly lose its life during the Melbourne Cup," senior campaign manager Ben Pearson said in a statement.
"World Animal Protection opposes the use of all animals in entertainment, including the use of horses in the racing industry. It's time to end the cruelty."
Social media was flooded with angry messages from people condemning the racing industry in response to what veteran commentator Bruce McAvaney described as a "tragedy".
O'Brien called the death "very sad" but said it was lucky jockey Ryan Moore remained unharmed.
"Unfortunately these things can happen to a horse galloping around the field at home," O'Brien said.
"It's very sad. It could have been worse, Ryan could have taken a fall off him, someone could have been seriously injured."
It is the fourth time in the past six years that the Cup has been shrouded by the death of horses.
French-trained horse Verema had to be put down after an injury suffered in the 2013 Cup.
A year later pre-race favourite Admire Ratki died after collapsing from heart failure in the stalls minutes after the race.
In the same 2014 race, import Araldo had to be euthanised because of an injury suffered when he was returning to scale.
