D&D as an RPG system is designed to make you feel powerful.
Despite the fact that the game started off as a dungeon-delving game of deadly traps and horrible fates, the general structure of modern D&D lends itself to players being able to face down deadly monsters more or less with their standard kit - their spells, weapons, and abilities make them ready to throw down with Mind Flayers, Dragons, and horror-themed monsters.
Van Richten's Guide to Ravenloft does a fantastic job of exploring horror as a genre (I honestly might recommend it simply to burgeoning horror authors even if they aren't D&D players) and creates some tools like the Stress & Fear mechanics (Stress working a bit like the One D&D version of Exhaustion, actually) to ramp up the fear.
But I also think there's something else to consider:
In the novel Dracula, which is really the quintessential gothic horror novel (I might argue for Frankenstein, but it also manages to be a prime Romantic work and arguably created science fiction - a genre that shares a lot of DNA with horror,) our first look at the infamous vampire is through the experience of Jonathan Harker, who travels to Transylvania to aid Dracula in his efforts to purchase a home in England, with no clue at first that the elderly nobleman is anything other than a rich eccentric.
But the action eventually shifts instead to the experience of Lucy Westenra and the people surrounding her. Lucy, a young woman who is being courted by three different men, is kind of beloved by everyone (even the men she rejects are still deeply devoted to her, and while Lucy is perhaps more naive than her friend Mina, Jonathan Harker's fiancee and later wife, she is by no means deserving of her fate). Lucy begins to suffer from a weird affliction, becoming deeply anemic and having bouts of sleep-walking.
One of her former suitors, the young Doctor Seward (who runs a mental hospital despite being under 30) calls in an old teacher of his, Abraham Van Helsing, who seems (at the point I'm at in the novel) to have a hunch that Lucy is being surreptitiously fed on by a vampire, and takes steps to prevent this, but the ambiguity of it (and his hesitance to make his theory explicit) lead to a breakdown in the protections he sets about.
Ultimately (past the point in the book I'm at, but I've seen the Coppola movie) Lucy succumbs and becomes a vampire herself, forcing the people who care most about her to kill her (now, I don't have the energy to unpack the gender politics surrounding that, but holy shit).
The point is, though, that if we are looking at the suitors and Doctor Van Helsing (and later, Jonathan) as our "adventuring party," Dracula doesn't actually really threaten any of them (well, except Jonathan early on,) but instead preys on a woman who, in D&D terms, would probably use a Commoner stat block, or something similar.
D&D player characters are adventurers - the whole point of the way they are built, mechanically, and the way they're conceived of, is that they are equipped to face down dangerous monsters. Horror, by contrast, functions on disempowerment. In most horror RPGs, the characters' skills are offset by an expectation of failure. And in many cases, as the campaign goes on, they accrue injuries (both mental and physical) that will ultimately force them into retirement if they don't outright die.
A D&D character bounces back from most things if they're able to get a good night's sleep.
Therefore, my sense is that if you really want to make a horror-themed D&D campaign, you've got to have the players get invested in NPCs - characters who are not nearly as resilient as the player characters.
I was looking at the Vampire earlier - a classic horror monster - and noting that they have 144 hit points. Ok, so for a party of four, each will need to do an average of 36 damage to the thing to take it down. Now, yes, it has regeneration, getting 20 HP back per turn unless it takes radiant damage. Let's say the fight takes 4 rounds and they don't have a source of radiant damage (maybe they have a druid healer and no paladin). So that adds 80 hp, meaning that each party needs to do 56 damage. By the level you expect to fight a CR 13 monster, that's not honestly all that much to ask - a Warlock with, say, Summon Aberration at level 10 can do 21 force damage with eldritch blast and 25 psychic damage with a Beholderkin or Star Spawn if they hit on all attacks, meaning they can do most of that all in a round.
However, let's change the scenario - instead of having our party face a vampire in some dungeon environment with no innocents in the way, instead let's say that there's a young noble the vampire has targeted to turn into one of its spawn. Slightly more resilient than a Commoner, sure, but our young noble still only has 9 HP. And even in their standard breastplate armor, the vampire is going to be able to grapple and bite them with a roll of 6 or higher on the die. And the 3d6 necrotic damage done by the bite could easily reduce their max HP to 0, turning them into a vampire spawn.
If the party cares about this NPC, the stakes get high. A vampire is nothing if not slippery - They have a +9 to Stealth, can change into animal forms an a Mist form that allows them to go through cracks, say, under a door. Are they barred from a house because they're not invited? Easy, they use their Charm to convince someone to invite them in. They can even distract the party with the Children of the Night summon. And legendary actions let them move without drawing opportunity attacks.
So, seriously, you will have a hard time keeping this vampire from getting to their target.
And that, I think will make for a tense, dangerous encounter - even if the player characters aren't in any super significant danger, it doesn't mean there isn't danger.
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