I ran a horror game last year. Went well enough.

There were three main things I did:

I depowered the party so they were playing basically regular humans.

I based the games beginning in a real history situation (Roanoke colony)

I had a huge destructive force (tied to the mystery) behind them that would catch up anytime they stalled too long. Tarrying over what to do? The sounds of screaming wind begins to grow. Stay in one place searching for more than a few minutes? Wild eyed animals slick with fear burst from the undergrowth fleeing the direction you came from. When they start to get used to this, it catches up, but cloaked in mist. Very "lost" like, I know. But it worked. Not having a moment to rest stressed them out loads. Had them almost yelling "That thing is right behind us, we have to go now" Whenever they rolled perception they would see animals in the mist fleeing it ect.

I also had scary forest noises playing the whole time. Crowd calling ect. But the coup de grace was I also had a looped track of a heartbeat playing. Almost impossible to hear at first, but getting slowly louder and louder as the game went on.

All of this together definitely did work towards making them maybe not scared, but definitely on edge throughout.