Penumbra is described as ': Overture is the first in a series of episodic survival horror games developed by Swedish developer Frictional Games. It was originally intended as the first episode of a trilogy'. There are more than 10 games similar to Penumbra for a variety of platforms, including Windows, Mac, Steam, Linux and Playstation. The best alternative is Left 4 Dead. It's not free, so if you're looking for a free alternative, you could try SCP: Containment Breach or Cry of Fear. Other Penumbra like games are Amnesia: The Dark Descent (Paid), Resident Evil (Paid), Dying Light (Paid) and Silent Hill (Paid).
Amnesia: The Dark Descent is a first person survival horror game for Windows, Mac OS X and Linux. The game features a protagonist named Daniel exploring a dark and foreboding castle, while avoiding monsters and other obstructions as well as solving puzzles.
Resident Evil, known as Biohazard in Japan, is a survival horror video game-based media franchise created by Shinji Mikami and Tokuro Fujiwara and owned by the video game company Capcom. Represent entire series of Resident Evil games.
Dying Light is an open world first person action-adventure survival horror video game developed by Polish video game developer Techland and published by Warner Bros. Represent entire series of Dying Light games.
Slender: The Eight Pages is a free indie-developed psychological horror/survival horror video game for Microsoft Windows and OS X. The game is based on the Something Awful forums' creation, Slender Man.
SCP: Containment Breach is an indie survival horror video game based on the stories of the SCP Foundation website. The player guides a test subject, D-9341, through many obstacles inside of a facility belonging to the shadowy SCP Foundation.
Layers of Fear is an foray into madness, a first-person horror game that sets a tone of fear and dread through provocative story telling as you explore a Victorian setting complete with mood-setting art pieces.