Games like Neon Nexus
Games like Neon Nexus include Risk of Rain (2013), Titanfall® 2, Spelunky, Crab Champions, and Neon Abyss. We matched them by the tags players give Neon Nexus on Steam (Action Roguelike, Parkour, Perma Death, Platformer, and Shooter): closest matches first, and among equally close ones the better-known games.

Risk of Rain (2013)
Shared: Action Roguelike · Platformer · Roguelike

Titanfall® 2
Shared: Parkour · Shooter · First-Person

Spelunky
Shared: Action Roguelike · Platformer · Roguelike

Crab Champions
Shared: Action Roguelike · Roguelike · 3D

Neon Abyss
Shared: Platformer · Roguelike · Shooter

White Knuckle
Shared: Parkour · Platformer · Roguelike

Rogue Legacy
Shared: Action Roguelike · Platformer · Roguelike

Ziggurat
Shared: Action Roguelike · Shooter · First-Person

30XX
Shared: Action Roguelike · Platformer · Perma Death

Mirror's Edge™ Catalyst
Shared: Parkour · First-Person · Platformer

Mirror's Edge™
Shared: Parkour · First-Person · Platformer

Risk of Rain 2
Shared: Action Roguelike · Roguelike · Shooter

Caveblazers
Shared: Action Roguelike · Platformer · Roguelike

The Binding of Isaac
Shared: Action Roguelike · Roguelike · Procedural Generation

Neon Abyss 2
Shared: Action Roguelike · Roguelike · Platformer

Neon White
Shared: Parkour · Platformer · Shooter

Dead Cells
Shared: Action Roguelike · Roguelike · Platformer

BlazBlue Entropy Effect
Shared: Action Roguelike · Platformer · Action

Severed Steel
Shared: Parkour · Shooter · First-Person

Skul: The Hero Slayer
Shared: Action Roguelike · Roguelike · Platformer

The Rogue Prince of Persia
Shared: Action Roguelike · Parkour · Platformer

Deadzone: Rogue
Shared: Roguelike · Shooter · First-Person

City of Brass
Shared: Action Roguelike · Perma Death · Roguelike

The Binding of Isaac: Rebirth
Shared: Action Roguelike · Roguelike · Procedural Generation