Frank Bow is not a typical indie horror game where you're running from a random ghost or a monster. It's a game about fighting demons that you can only see and you alone can stop them. They were made out of you, moulded by your tears, fears, your weaknesses, grief and pain and there is little hope for your future.
If you've liked this depressing, gruesome, frightening, yet at the same time, aesthetically pleasing game, you might be interested in some of these as well: https://www.gamersdecide.com/articles/games-like-fran-bow