Take a break from your brain by focusing on the body
Note
When you find yourself consumed by worry, either by something happening in your life, or while watching a movie, a great mindfulness technique is to focus on the sensations of the body at that moment, to "give your brain a break" from itself and moving your thoughts to a sensory level. I have found myself doing that in meetings for example when i'm feeling anxiety. Haven't tried it with horror movies as well as was advertised, but it could work there as well.