Yes, Doki Doki Literature Club is a horror game.
It looks like a fun and cutesy graphic novel featuring 4 "anime girls". However, it's said in the beginning of the game that it features suicide & mention of self harm, I've played through the game a few times and it features implied self-harm & suicide. Though this doesn't make it horror Yuri has talked about doing stuff to herself (NSFW) & overall the game has disturbing imagery. It's no secret that it's a psychological horror game but to people who haven't heard of the game won't know. The Salvato Team makes sure you know before you actually play!
No worries,
Megami <3