Link - Cosmic horror has been established as one of the most chilling sub-genres in horror cinema. With a focus on the unknown, isolation, and the human mind, cosmic horror plays on the imaginations of audiences rather than going all out on gore and jump scares. Instead of ghosts, serial killers, or vampires, these stories focus on the endless possibilities of the universe's fictional horrors.
Early 20th-century author H.P. Lovecraft gave Cosmic horror prominence through stories like At the Mountain of Madness, The Hound, and The Call of Cthulhu. The genre can be challenging to pull off in cinema, but plenty of films have tried to capture the terror of the unknown and unimaginable. Everything from stories of paranoia to questions about reality itself has made up cosmic horror in cinema.
Despite the name, Cosmic Horror doesn't specifically refer to space. It's more a reference to scale - horror so massive it makes mankind look insignificant. Cosmic Horror is also called "Lovecraftian Horror", although that now tends to be used more specifically for stuff involving Tue Cthulhu mythos or the actual works of Lovecraft - like The Color out of Space, which is based on his story of the same name.
Anyway, the point is that Cosmic Horror is about unknowable, existential threats to humanity, not necessarily stuff from the stars.
In the Mouth of Madness qualifies. Annihilation as well.