I think I'll disagree and say, no. I don't think making horcruxes are specifically illegal.
Dark magic in general is frowned upon, in the books... but horcruxes are not very well known, and seem to be discouraged by lack of knowledge, not legislation. Splitting a person's soul is, according to Slughorn, abhorrent and evil, yet while he is calling it evil he does not mention laws against mutilating the soul. Bear in mind that Dementors also suck out souls, which should be equally dark and horrifying, yet they aren't illegal either. They're actually legal punishments.
As to murder... both the prior answers think that the illegality of murder would make horcruxes illegal to make, but I don't think it's ever laid out just what murder would be, what's actually illegal in the wizarding world. I'm sure the wizarding world has laws against the murder of witches and wizards, but we don't know what the requirements are for killings that would split a soul. If the person killed was a muggle, or house elf or goblin or werewolf, I'm not sure if they would be equally protected under law - but they might work for the magic. There's an element of speculation to that, sure. I don't think they ever said that killing a muggle, house elf, or such wasn't murder - but muggle baiting is a relatively minor crime, and erasing memories or meddling with people's minds, is routine.
The attack on the family at the world cup was brushed aside, there was no mention of compensation, or that they might give testimony or anything that treated it like a crime instead of something to be covered up. The caretaker at the Riddle house, and other muggle casualties are deemphasized in favor of any wizarding casualties. The crimes laid at Pettigrew's feet are serving Voldie and betrayal of his friends... the extra muggles he kills are not mentioned. I wonder if any attack, even a fatal one, might be illegal under the statute of secrecy rather than individual rights. House elves also have very little in the way of rights, between Dobby's abuse and death threats, and Kreacher's being left to die by Voldie seemingly without consequence, I wouldn't be surprised if killing one was not actually illegal. Buckbeak's trial and careless order of execution, even though the fact he was 'proud' or 'insulted' might mean he had a higher degree of self awareness than anyone should disregard as the ministry did. In short, the wizarding world is prejudiced, and careless with the lives of any species considered 'lesser'
Back to the point, what the magic of the horcrux ritual requires as a murder might not coincide with what wizarding law says is one. There might be laws against dark magic more generally, but without mentioning horcruxes specifically or damage to the soul (which would put the ministry in a bad place regarding dementors) it might be easy to break laws in making a horcrux, but I suspect it is possible to make one, without violating ministry of magic laws... so it might not be itself illegal.