Glad to see True Detective S1 mentioned in here. One of the best television seasons ever. Yeah, OP is asking for films but that whole season is its own cinematic experience. Does a great job making audiences feel like a little fish in a vast ocean just like Rust and Marty as they uncover the dark web of conspiracies. The Lovecraftian mythos added brings a heavy sense of dread and horror vibe throughout.
On another note, Wind River and Enemy (2013) are dope films that felt like their own True Detective seasons too.