I think I've been lucky building an horror atmosphere, because the only one I played was for Call of Cthulhu and was with a combination of casual DnD players and new players to TTRPG in general. So, explaining to them the kind of game keep them on the mood since first minute, since CoC has pretty hard rules about sanity and the posibility of dying, and there is a lot of emphasis on not beign combat focused.

Then, the adventure I played had a lot of elements that create a build up for the sessions. Things I can identify that helped where:

• That the players where given a clear objective as a premise, but then an aircraft accident happened and they were completely lost. The whole adventure is escaping from the town were they are after the accident, the premise was a lie, and this gave them a sense of constant danger and a direct problem that they can not just forget about.
• In the adventure, language was a barrier. They were on a town where everyone spoke an old romanian dialect. Their only way of communication they had were trying to use their hands or talk to only one person in town which could translate their requests. This augmented the isolation factor.
• With the first two points, everything else flowed, because if they found, like, signs of blood somewhere, or strange paintings, talking about them ment using this one character that could translate their requests, but they didn't trust them, because everyone on that town felt like an enemy, so everything else exponientialy grew in possible theories because trying to just grab information felt dangerous in itself.

This may be too much specific, but could be translated in other contexts by using those kind of barriers and immediate unavoidable problems that felt real, that augment a normal spooky scene you can imagine, supported by a game system that danger is a real threat in the rules.