The phrase implies stress due to difficult choices, not everyday decisions. Deciding between caring for an ill parent or accepting a dream job abroad, she was on the horns of a dilemma.
Pro Tip 2/3
Not Literal
It's a metaphorical expression and doesn't involve real horns or physical dilemmas. Choosing a major felt like being on the horns of a dilemma, with passion and practicality at odds.
Pro Tip 3/3
Strong Connotation
Use it for serious, impactful dilemmas, not trivial or humorous situations. Faced with the need to cut jobs or reduce salaries, the CEO was on the horns of a dilemma.