Games like Cold Shelter
Games like Cold Shelter include Firewatch, What Remains of Edith Finch, SOMA, Mouthwashing, and Layers of Fear (2016). We matched them by the tags players give Cold Shelter on Steam (Horror, Psychological Horror, Atmospheric, Thriller, and Adventure): closest matches first, and among equally close ones the better-known games.

Firewatch
Shared: Atmospheric · Adventure · Story Rich

What Remains of Edith Finch
Shared: Atmospheric · Story Rich · Adventure

SOMA
Shared: Horror · Psychological Horror · Atmospheric

Mouthwashing
Shared: Horror · Psychological Horror · Atmospheric

Layers of Fear (2016)
Shared: Horror · Psychological Horror · Atmospheric

Amnesia: A Machine For Pigs
Shared: Horror · Atmospheric · Psychological Horror

MiSide
Shared: Psychological Horror · Horror · Story Rich

Fears to Fathom - Ironbark Lookout
Shared: Horror · Psychological Horror · Atmospheric

Sally Face - Episode One
Shared: Psychological Horror · Horror · Story Rich

Outer Wilds
Shared: Exploration · Adventure · Story Rich

No, I'm not a Human
Shared: Horror · Psychological Horror · Atmospheric

Still Wakes the Deep
Shared: Horror · Psychological Horror · Atmospheric

Poppy Playtime
Shared: Horror · Psychological Horror · First-Person

The Park®
Shared: Horror · Psychological Horror · Atmospheric

Little Nightmares II
Shared: Horror · Adventure · Atmospheric

Outlast
Shared: Horror · Atmospheric · Psychological Horror

Little Nightmares
Shared: Horror · Atmospheric · Adventure

DON'T SCREAM
Shared: Horror · Psychological Horror · Atmospheric

Summer of '58
Shared: Horror · Atmospheric · Psychological Horror

Fears to Fathom - Norwood Hitchhike
Shared: Horror · Psychological Horror · Atmospheric

Detention
Shared: Horror · Psychological Horror · Atmospheric

Alan Wake
Shared: Horror · Story Rich · Adventure

Psalm 5:9-13
Shared: Horror · Psychological Horror · Exploration

Visage
Shared: Horror · Psychological Horror · Atmospheric