Games like Gray Dawn
Games like Gray Dawn include Firewatch, Mouthwashing, Still Wakes the Deep, SOMA, and What Remains of Edith Finch. We matched them by the tags players give Gray Dawn on Steam (Adventure, Indie, Psychological Horror, Story Rich, and Thriller): closest matches first, and among equally close ones the better-known games.

Firewatch
Shared: Adventure · Story Rich · Indie

Mouthwashing
Shared: Psychological Horror · Story Rich · Indie

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

SOMA
Shared: Psychological Horror · Story Rich · Horror

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

MiSide
Shared: Psychological Horror · Story Rich · Horror

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

Amnesia: The Dark Descent
Shared: Psychological Horror · Horror · Gore

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

Little Nightmares II
Shared: Adventure · Horror · Psychological Horror

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

Fran Bow
Shared: Psychological Horror · Story Rich · Adventure

Outlast
Shared: Psychological Horror · Horror · Adventure

Outlast 2
Shared: Psychological Horror · Horror · Singleplayer

Little Nightmares
Shared: Adventure · Horror · Indie

Poppy Playtime
Shared: Horror · Singleplayer · Psychological Horror

Detention
Shared: Indie · Psychological Horror · Adventure

Scorn
Shared: Horror · Gore · Psychological Horror

Blair Witch
Shared: Adventure · Psychological Horror · Indie

Amnesia: A Machine For Pigs
Shared: Story Rich · Horror · Psychological Horror

The Beast Inside
Shared: Adventure · Horror · Psychological Horror

Outer Wilds
Shared: Adventure · Story Rich · Indie

Observation
Shared: Adventure · Indie · Horror

Raging Loop
Shared: Adventure · Psychological Horror · Indie