In a large bowl, beat cream cheese with an electric mixer until fluffy. Mix in Cheddar cheese, onion, parsley, horseradish, salt and pepper.
Lightly dampen hands with cold water; shape cheese mixture into log about 2 inches (5 cm) in diameter.
Spread walnuts on a plate; roll log in walnuts, gently pressing to adhere. Wrap in plastic wrap and refrigerate for 2 hours, or up to 24 hours.