Bloodborne is not an actual horror game, but it is superior to most horror games in multiple areas.
1. The sense of something to lose
In most horror games, you don't suffer much from death except redoing a area or two, that's it. In Bloodborne, the thought of losing a ton of blood echoes makes your stomach drop. You must stay on your toes and vigilant at all times so you don't lose your hard worked reward. In Alien: Isolation, Slenderman, The Evil Within etc, I don't feel that sense of dred of losing my hard work. Of course, you don't like dying, but you don't care as much as you do in Bloodborne.
In Bloodborne, you feel liek it's a real world, because you see Cainhurst in early game, and are like "That looks like it would be fun if it was an area." Then you end going there and are excited about the prospect of further exploration. You feel like a badass, sweeping the grounds of the world top to bottom of the horrors within, while other games have impossible to reach areas that make you want to go there.
Bloodborne offers it's own generic brand or vibe because when you hear the bells in the distance and Cleric Beast in the beginning, you feel like it's all too real. Like there are all kinds of things going down as you progress.
When I see a huntsman, I wonder what he will later become, will he be a Scourge Beast or Beast Patient? Seeing Gascoinge's beast form and then the Abhorent Beast causes you to make connections regarding evolution. I like the feeling of putting them down before they evolve into something more. Kin are well designed too, and offer their own impossibly inteligent and advanced vibe, while beasts are aniamals, thus easy to understand. Advanced Kin see all and know all (in theory) and that is easy to see. The Bosses are pure gold in terms of design. They are all unique (for the most part) and each must be apporached differently.
4. Sadness and remorse for characters
Gilbert is the first example of this. You actually feel bad for him as he gets sicker and sicker and are forced to mercy kill him. You gets to watch these people go insane, turn into beasts or be killed and you feel for them. The chapel dweller is easy to pity for how gross and socially awkward he is. If you killed him for thinking he was a cannibal or something then you should feel bad, as this is a horrible tragity and you deserve maximum punishment, find a metal bench and rub some bolt paper on it to effectivly make an electric chair for your hunter.