If using regular yogurt, place it in a strainer lined with paper towel and set the strainer over a bowl. Let the yogurt drain and thicken for 20 minutes.
Combine thickened or Greek-style yogurt, mayonnaise, horseradish and salt and pepper in a small bowl and stir to incorporate.
Place 1/4 cup watercress each on 4 slices of bread and drizzle with 2 tablespoons horseradish mayonnaise. Layer with 3 ounces roast beef per sandwich, tomato slices and onion slices. Top with another slice of bread and wrap in waxed paper, then aluminum foil.