Director Béla Tarr says that the film is about the "heaviness of human existence". The focus is not on mortality, but rather the daily life: "We just wanted to see how difficult and terrible it is when every day you have to go to the well and bring the water, in summer, in winter... All the time. The daily repetition of the same routine makes it possible to show that something is wrong with their world. It's very simple and pure." Tarr has also described The Turin Horse as the last step in a development throughout his career: "In my first film I started from my social sensibility and I just wanted to change the world. Then I had to understand that problems are more complicated. Now I can just say it’s quite heavy and I don’t know what is coming, but I can see something that is very close – the end."
According to Tarr, the book the daughter receives is an "anti-Bible". The text was an original work by the film's writer, László Krasznahorkai, and contains references to Nietzsche. Tarr described the visitor in the film as "a sort of Nietzschean shadow". As Tarr elaborated, the man differs from Nietzsche in that he is not claiming that God is dead, but rather puts blame on both humans and God: "The key point is that the humanity, all of us, including me, are responsible for destruction of the world. But there is also a force above human at work – the gale blowing throughout the film – that is also destroying the world. So both humanity and a higher force are destroying the world."