i know Bloodborne is an Action RPG but it does have some horror in it, actually it can be quite disturbing some times... (and i love that!), i would define the setting of the game as "Victorian Horror" which is very interesting to me since Demons Souls (the game Bloodborne is based on) has a "Medieval Horror" theme which is actually very different from the "Dark Fantasy" theme of Dark Souls.
also get the Witcher 3 it looks epic and there is a bunch of JRPGs coming to the PS4 as well but i dont know if you like those or not.