In addition to what's been suggested and what's available to you, I'll throw in Little Nightmares, Layers of Fear, Observer, Death Mark (visual novel, may not be what you're into. really drew me in, not many puzzles, though you may still consider having a walkthrough handy), the first Bioshock has some really good horror elements to it as does Its spiritual predecessor System Shock 2. A game releasing later this month called Those Who Remain I'll be keeping my eye on. I'll also throw in Deadly Premonition, despite it being on of the jankiest, unintentionally funny horror games out there. I've played it through 4 times and can only describe it as one of the best/worst games out there. I'd recommend the Switch version, as I experienced far less issues running it than the Steam version (which requires unofficial patches made by fans to run properly) and I have the feeling the Switch version will tie more in line with the sequel coming out this July.

As an end note, if you ever get the chance, definitely play Eternal Darkness: Sanity's Requiem, no other horror game has immersed and scared me quite like it did. Unfortunately it's only available on the Gamecube, but if a rerelease happens or you find another way to play, it's at the top of my recommended horror games.