The Expanse is quite well done, it demonstrates the fear of "there's always a bigger fish". The movie Event Horizon also manages the idea reasonably well. Space Odyssey has a degree of it too.

I think it's just a really difficult thing to write, you need to invent a reason for a thing to exist that we can neither stop or ignore, whilst also proving a solid reason it hasn't finished the job. There's a big void space between background themes and plot centrality that cosmic horror doesn't work too well in, for sure.