Gaming

Try out hell blade senuas sacrifice. Pretty much hits on these exact themes.

Echoes of the Eye sort of fits this, I think. It's a DLC for Outer Wilds though so you kinda have to play that too (although it's well worth it).

Not a horror game, but I found that Celeste hit this spot for me.

Silent Hill 2 can also give these vibes, but it really depends on the ending. Also, that ending monologue has to be some of the best in video games.

Hmm, to me it feels like SOMA both fits your criteria, but also has the points you dislike. It's hard to explain without spoiling the story. Nonetheless, it's a great story to experience.

Amnesia: The Dark Descent is also a classic, in which you follow how the main character slowly changed and what they did by reading the journal entries they left behind before they got... amnesia. The story is quite interesting and dark if you pay attention to it, it's unfortunate that most people seem to only care about the horror elements (which are the best there is!).

This is a weird one, but I say you would definitely love Outer Wilds. It's not exactly a horror game per se, but the environments and being alone in space can instill fear in some people. It has its tense moments though, and the expansion Echoes of the Eye actually incorporates horror elements (and super well at that).
The story and how it's presented is phenomenal, and gut-wrenching at times, but overall very hopeful and optimistic. Gameplay-wise, it's an exploration mystery set in space, so I recommend not to look much up, as almost everything can be considered a spoiler.

Steam summer sales are starting in like 10 hours, so grab those games if you're on PC!

If you haven't played it yet, The Walking Dead: The Telltale Definitive Series. It's a packaged, remastered bundle of the four Telltale TWD games and DLC stories. I don't want to spoil anything if you're unfamiliar, but the story in these games is an absolute rollercoaster. The overall story of the whole thing is centered on a girl called Clementine, who you meet as a young child at the beginning of a zombie apocalypse and follow her through the motions into becoming a young adult. Being in TWD universe it can get pretty grim but she always finds a reason to keep going :)

I don't know if Celeste is "Horror" but it has some horror elements.

Off the top of my head I can think of re2 remake, silent hill (depending on the ending you get) and alien isolation