Prepare 1 package of raspberry Jell-O according to package directions. Pour into a 9×13-inch dish and add raspberries. Refrigerate until set.
Bring cream cheese to room temperature. Mix in horseradish and mayonnaise until smooth. Spread evenly over the chilled Jell-O layer. Refrigerate to firm.
Prepare the second package of Jell-O. Pour gently over the filling (pour over the back of a spoon to avoid disturbing the filling). Refrigerate until set. Cut into squares and serve.