It's possible Alfred was a baptist. He was buried in Anfield Cemetery, Liverpool. A very early post in the thread told us this is a non-conformist burial ground. His second wife came from a staunch Wesleyan family.
Regarding the Edinburgh marriage, 88 Candlemaker's Row, where Thomas was staying has featured in other enquiries on RootsChat. It was a lodging house. One post mentions that in 1901, there are 83 people living there. It is now Canmore, the National Record of the Historic Environment. There are pictures here
https://canmore.org.uk/site/117894/edinburgh-84-86-88-candlemaker-row-greyfriars-kirk-houseMaiden Stone, now I know Alfred's M.O. as it were, I intend to look for menageries in Newcastle in 1861. I think his circus career was short. The 1876 Buxton newspaper report about his illness that Lizzie posted, states that he had been a member of the Buxton Summer band for ten years. The Boorn's Gigantic Russian Circus reference is dated 1865. I found this in the Cardiff Times from 1866:
https://newspapers.library.wales/view/3384311/3384315It's an advert that gives a fantastic description of the bizarre acts in the circus, but states the Band leader is a Mr. Collins. Alfred Horton had moved on, presumably to Buxton, but also to Torquay. He married his first wife there on 4 Jan 1868. He certainly didn't let the grass grow under his feet. I need to dig in newspapers to see if I can find reference to him in Devon.
In 1871, Alfred was in Torquay, a widower, with his young daughter Ada Emily. His dead wife's family are living next door.