Games like The Lady
Games like The Lady include Little Nightmares, Detention, Little Nightmares II, LIMBO, and Fran Bow. We matched them by the tags players give The Lady on Steam (Indie, Action, Psychological Horror, Adventure, and Horror): closest matches first, and among equally close ones the better-known games.

Little Nightmares
Shared: Horror · Adventure · Indie

Detention
Shared: Indie · Psychological Horror · Horror

Little Nightmares II
Shared: Adventure · Horror · Puzzle

LIMBO
Shared: Indie · Puzzle · Adventure

Fran Bow
Shared: Psychological Horror · Indie · Horror

Poppy Playtime
Shared: Horror · Puzzle · Psychological Horror

GRIS
Shared: Indie · Adventure · Atmospheric

DreadOut
Shared: Indie · Horror · Adventure

Hollow Knight: Silksong
Shared: Indie · Difficult · Great Soundtrack

Firework
Shared: Indie · Horror · Psychological Horror

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

Samsara Room
Shared: Indie · Adventure · Puzzle

IMSCARED
Shared: Indie · Psychological Horror · Horror

Outlast
Shared: Horror · Psychological Horror · Atmospheric

The Medium
Shared: Adventure · Psychological Horror · Horror

Planet of Lana
Shared: Action · Female Protagonist · Puzzle

Jump King
Shared: Psychological Horror · Indie · Adventure

Celeste
Shared: Indie · Difficult · Great Soundtrack

Rusty Lake Paradise
Shared: Indie · Puzzle · Adventure

Mouthwashing
Shared: Psychological Horror · Horror · Indie

Seen
Shared: Indie · Adventure · Puzzle

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

OMORI
Shared: Indie · Psychological Horror · Horror

SILENT HILL f
Shared: Psychological Horror · Horror · Action