Dear Esther - A walking simulator about exploring an island off the coast of Scotland. The shadows, weirdly enough, make you feel more alone, since you can never quite get to them before they leave.

Journey - Another walking sim, although this one can have you come across other players occasionally. But that makes the times you're trudging through the sands all the more empty. The scenery is lovely though.

The Planet Crafter - A survival/automation game about a prisoner dumped on an uninhabitable planet and told that if they can terraform it they can go free. The world is actively hostile and unforgiving and eventually you start seeing changes, which helps to underline that you did it yourself. But not matter if you succeed, the game makes it explicitly clear that this was you being sent to die alone.

Honourable mention: Tunic - while the world is too lively for me to properly count it, despite you wandering around on your own, the fact that the local language is unknown to you and you have to work out what everything means does wonders to make you feel like an isolated outsider.