Games like Last Sighting
Games like Last Sighting include Firewatch, What Remains of Edith Finch, Amnesia: A Machine For Pigs, SOMA, and Layers of Fear (2016). We matched them by the tags players give Last Sighting on Steam (Exploration, Walking Simulator, First-Person, Horror, and Story Rich): closest matches first, and among equally close ones the better-known games.

Firewatch
Shared: Walking Simulator · Story Rich · First-Person

What Remains of Edith Finch
Shared: Walking Simulator · Story Rich · Exploration

Amnesia: A Machine For Pigs
Shared: Walking Simulator · Horror · First-Person

SOMA
Shared: Horror · Story Rich · Exploration

Layers of Fear (2016)
Shared: Horror · Walking Simulator · First-Person

Visage
Shared: Horror · First-Person · Walking Simulator

The Beast Inside
Shared: Horror · First-Person · Adventure

Five Nights at Freddy's: Security Breach
Shared: Horror · First-Person · Exploration

Lethal Company
Shared: First-Person · Horror · Exploration

Gone Home
Shared: Walking Simulator · Exploration · First-Person

Outer Wilds
Shared: Exploration · Story Rich · Adventure

Resident Evil 7 Biohazard
Shared: Horror · First-Person · Atmospheric

The Forest
Shared: Horror · First-Person · Exploration

INFRA
Shared: Exploration · First-Person · Walking Simulator

Outlast
Shared: First-Person · Horror · Atmospheric

Blair Witch
Shared: Horror · First-Person · Adventure

The Beginner's Guide
Shared: Walking Simulator · Story Rich · First-Person

Still Wakes the Deep
Shared: Horror · First-Person · Walking Simulator

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

Resident Evil Village
Shared: First-Person · Horror · Survival Horror

Among the Sleep - Enhanced Edition
Shared: Horror · First-Person · Walking Simulator

Metro Exodus
Shared: Story Rich · Horror · First-Person

DEATH STRANDING DIRECTOR'S CUT
Shared: Walking Simulator · Story Rich · Exploration

Kona
Shared: First-Person · Exploration · Walking Simulator