It is the latest transfer in a window which has seen 12 players arrive at Valley Parade (if you include Jamie Walker making his own loan permanent), five loans ended and now 10 further players departing as Mark Hughes reshapes the squad in his first transfer window as manager.
The Bantams have signed goalkeeper Harry Lewis from Southampton with 37-year-old Colin Doyle returning to the club to provide playing and coaching back-up. Former club captain Richard O'Donnell was released at the end of his contract.
Hornby, 27, made just 32 appearances in all competitions in three seasons as a Bradford player after joining on a free transfer from Port Vale. He had a six-match run as first-choice goalkeeper either side of Christmas as O'Donnell was eased out. Late in the window Alex Bass joined on loan from Portsmouth, but he has since returned to Fratton Park.
Colchester finished a place below Bradford last season, 15th in League Two.