None of these are full horror games, but some have some horror-like elements. I'll update this post as I remember more. These games should mostly be pretty good though, even if they aren't horror.
Majora's Mask has some of those elements, if you haven't played that. The recent Prey reboot has some aspects of that, but it is sci-fi. There's also a game based on Kafka's Metamorphosis, no idea if it is good though.
Momodora: Reverie Under the Moonlight has a point where that happens, but again, not strictly horror.
Bloodborne has the "curse of the beast" as a massive part of it's plot, where people turn into monsters. Not a full-on horror game, but has a horror-like atmosphere. Hard game but one of the best games of all time in my opinion .
Final Fantasy XIII heavily features a magic transformation element, but is not a horror game at all, and is not considered to be an especially good game, but some like it.