Immaculate (R)
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This is more than just psychological horror, but that's the best fit in terms of the horror categories I currently have. (It could be called "religious horror" or possibly "body horror", though I'm less sure about the latter.)

It starts with a nun named Sister Mary trying to escape from an Italian convent, for unknown reasons. But she's caught and buried alive.

Then we meet an American novice named Sister Cecilia (Sydney Sweeney), who has just relocated to the same Italian convent, though she only speaks a little bit of Italian. There are a few people there who speak English, including a nun named Sister Gwen, who befriends Cecilia. And there's a nun named Sister Isabelle whose demeanor toward Cecilia is rather cold. Cecilia is also befriended by Father Tedeschi. Eventually, it is discovered that Cecilia is pregnant, despite insisting that she is a virgin. So, it's considered an immaculate conception and possibly the Second Coming of Christ. And everyone starts treating her with reverence, except for Isabelle, who eventually tries to kill her out of intense jealousy.

Beyond that, I don't want to spoil any details, though there is an intriguing (yet horrifying) twist concerning the actual nature of the conception. And Cecilia's life at the convent turns into a hellish experience. It's a very disturbing movie, but genuinely scary and inventive.