First of all a thriller film is more interested in suspence building up tention and makes you worried and nervous for the safety of the characters. ''Keeps you at the edge of your seat'' is a common term used to describe thriller films.
However a Horror film is used to make you feel for your personal safety and make you think what has happened to the characters may happen to you. For example a horror film contained a person getting stabed by a demon or something supernatural and you may be scared to go to your bathroom. As silly as it sounds it actually does work for some amount of people that go to watch the films.
Furthermore thriller films do not contain as much blood,gore and violence as Horror films contain.
The Adjustment Bureau( Romance, Sci-Fi, Thriller)