Games like The Agony
Games like The Agony include Firewatch, Sixtieth Kilometer, OneShot, Little Nightmares, and Outlast. We matched them by the tags players give The Agony on Steam (Indie, Adventure, Casual, Visual Novel, and Horror): closest matches first, and among equally close ones the better-known games.

Firewatch
Shared: Adventure · Indie · Singleplayer

Sixtieth Kilometer
Shared: Indie · Visual Novel · Casual

OneShot
Shared: Indie · Adventure · Singleplayer

Little Nightmares
Shared: Adventure · Horror · Indie

Outlast
Shared: Horror · Singleplayer · Adventure

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

DISTRAINT: Deluxe Edition
Shared: Indie · Horror · Adventure

Firework
Shared: Indie · Horror · Visual Novel

Tiny Bunny
Shared: Visual Novel · Horror · Singleplayer

GRIS
Shared: Indie · Adventure · Atmospheric

The Test
Shared: Multiple Endings · Singleplayer · Visual Novel

Little Nightmares II
Shared: Adventure · Horror · Singleplayer

Milk outside a bag of milk outside a bag of milk
Shared: Visual Novel · Indie · Multiple Endings

OMORI
Shared: Indie · Multiple Endings · Horror

That's not my Neighbor
Shared: Adventure · Casual · Indie

Five Nights at Freddy's: Security Breach
Shared: Horror · Singleplayer · Multiple Endings

Florence
Shared: Indie · Adventure · Casual

Tales of the Black Forest
Shared: Indie · Adventure · Horror

Hollow Knight
Shared: Indie · Singleplayer · Adventure

LIMBO
Shared: Indie · Adventure · Singleplayer

Plug & Play
Shared: Indie · Casual · Adventure

INSIDE
Shared: Indie · Horror · Adventure

Poppy Playtime
Shared: Horror · Singleplayer · Indie

Raging Loop
Shared: Adventure · Visual Novel · Indie