While I’ve never tried horseshoe crab myself, they are edible.
They are served in Asia, although it’s not really all that popular. I’ve been told that they taste a little like king crab. I’m not too sure about that, after all they are more closely related to spiders than to crabs.
Another thing is there is really not much on them to eat. The legs do not get that big, although if you don’t mind working for you meal they are bigger than say crawfish.
If you are feeling adventurous and would like to give it a try, you can get some here.