The blaze broke out just after 11 am in outbuildings at Conhess Cottage outside the village.
Firefighters from Annan and Gretna raced to the scene but were unable to save the animals.
However, the owners and neighbours had managed to lead other horses to safety.
A Fire and Rescue Service spokesman said: “When firefighters got there they immediately begain work to tackle the fire with high pressure jets.
“The crews were subsequently told a horse and foal may still have been in the shed, which measured 6m x 12m.”
“Firefighters used three jets to tackle the flames, which had also involved a caravan adjacent to the building.”
The crews were on site until 1.20 pm, when the blaze was finally extinguished.
The cause of the fire has yet to be established.