Gris

Gris is a game, or an interactive artwork if you will, about a girl called Gris experiencing and going through the different stages of grief. It is cryptically explained that this grief is about her mother, but it’s told in such manner that you can interpret it in many ways. For example, the girl could also be grieving about the loss of her voice, about loss or disconnect of her old identity or self, loss of a friend or even a lover.

Hollow Knight

In this game you explore the ancient kingdom Hallownest as the nameless knight.

You wield a nail, both as weapon and way of interacting with your environment. You also have a substance within you called soul, with which you can cast spells and heal yourself. As you explore, you discover lore of the world, collect Geo, which is money, as well as upgrades and abilities. You make allies and enemies along the way, defeating difficult bosses and traversing platforming challenges.

Hyper Light Drifter

In HLD the player controls the Drifter, a character that has access to technology that has long been forgotten by the inhabitants of the game's world and is suffering from an unspecified illness. The story concept was inspired by lead developer Alex Preston's heart disease.

There is no text in the game and a focus on music and visuals when it comes to storytelling.

Night in the Woods

College dropout Mae returns to her hometown seeking to resume her aimless past life and reconnect with the friends she left behind. But things aren't the same. Home seems different now and her friends have grown and changed. Leaves are falling and the wind is growing colder. Strange things are happening as the light fades.

Night in the Woods is a game about exploration, story, character development and even touches on mental illness and dissociation.

Journey

Explore the ancient, mysterious world of Journey as you soar above ruins and glide across sands to discover its secrets. You can play alone or in the company of a fellow traveler and explore its vast world together, only communicate with each other through musical chimes.

The developers sought to evoke in the player a sense of smallness and wonder and to forge an emotional connection between them and the anonymous players they meet along the way.

Ori and the Blind Forest

The forest of Nibel is dying. After a powerful storm sets a series of devastating events in motion, an unlikely hero must journey to find his courage and confront a dark nemesis to save his home.
This game tells the tale of Ori, a young orphan destined for heroics and explores a deeply emotional story about love and sacrifice, and the hope that exists in us all.

Ori and the Will of the Wisps

The little spirit Ori is no stranger to peril, but when a fateful flight puts the owlet Ku in harm’s way, it will take more than bravery to bring a family back together, heal a broken land, and discover Ori’s true destiny. The highly anticipated sequel to take game I've mentioned before this one.

Sea of Solitude

The player controls a young woman named Kay who suffers from such strong loneliness that her inner feelings of hopelessness, anger and worthlessness turn to the outside and she becomes a monster. As Kay the player explores an seemingly empty, flooded city and its scaly red-eyed creatures in order to reveal why Kay herself has turned into a monster. The emotions of her manifest into giant monsters standing in her way, trying to help but also destroy her. Kay needs to interact with and understand their underlying intentions in order to overcome the negative effects of those emotions. The game is in the core an inner dialogue of a person trying to come to terms with their own shortcomings.

Celeste

Help Madeline survive her inner demons on her journey to the top of Celeste Mountain. Conquer hundreds of hand-crafted challenges, uncover devious secrets, and piece together the mystery of the mountain in this beautiful precision platformer.

It also covers the topic of Madeline's anxiety, which is depicted very well with visual storytelling.

Rime

A land of discovery stretches out before you. Explore the beautiful, rugged world of RiME. Armed with your wits and a will to overcome, and the guidance of a helpful fox, you must explore the enigmatic island, reach the tower's peak, and unlock its closely guarded secrets.

RiME covers themes of grief.