Horror video games have often been criticized for their negative and unrealistic depiction of mental health, primarily through their portrayal of characters with mental illnesses. Such representations can perpetuate stigma and misconceptions about mental health issues. However, there has recently been a growing interest in accurate portrayals of these characters and how playing these video games could also elicit empathy and mental health awareness. In our study, we explored how a psychological horror game such as Silent Hill 2 could foster empathy and mental health awareness through individual interviews with 11 participants. Our findings revealed that participants gained a deeper understanding of mental health issues and empathy towards characters struggling with mental illnesses by interacting and controlling them. Participants had a greater attachment to the characters' inner struggles and their gameplay was experienced as cathartic. Moreover, our findings highlighted the potential of psychological horror to serve as a platform for character-driven narratives, showcasing how engagement with such games elicited empathy among participants. We contribute to an exploratory understanding that can assist game designers and writers in crafting narratives within the Psychological Horror genre that foster empathy and mental health awareness.