It seems that most of what you enjoy has some body horror and a change from good to morally ambiguous... Not sure if my recs would fit in, but here's some with similar atmospheres.
Akira (movie)
Garo (middle ages spanish setting, body horror happens but not with main characters, characters change from morally ambiguous to clearly good)
Higurashi no Naku Koro ni/Umineko no Naku Koro ni (a mystery horror so more focused on mystery solving than the characters)
Noragami (modern japanese setting with spirits, there is body horror, and character change happens but most characters change to being generally good)
Also some classic horror that is more "monster of the week" rather than character focused are Jigoku Shoujo and Mononoke. Both of which are pretty good, but are probably not exactly what you're looking for.
I would second Psycho Pass, but only the first season. And if you enjoyed that, you could also try out Madoka Magica, also written by Urobuchi Gen, though Madoka's atmosphere is more one of despair rather than horror. (I think only the third movie really gets similar to the atmosphere you seem to be looking for.)
And I haven't watched it (I've read only the manga, which I heard was really different), but Shin Sekai Yori sounds like it would fit.
Oh, and MU has a
body horror tag if you're interested in manga.
