Battle Brothers, with all the fog, autumnal colors and the general mood.
Serpent in the Staglands; might be more suitable for November/December, since it's a rather wintery game. but I can remember some years (2009 for example) the first snowfall was in october.
Dungeon Master 2, the rainy hedge maze has very nice atmosphere!
WaxWorks, nice game for halloween.
Grim Dawn, action-RPG, autumnal looks and atmosphere.
Darkest Dungeon, I don't think this needs an introduction.
since other people mentioned games from other genres, I'll do that as well. not all of them are that great, but I'd still recommend each and every one for the atmosphere.
adventure: Amnesia, Gorogoa, Kathy Rain, Knock Knock, Mind: Path to Thalamus, Myst, Overclocked, Penumbra, Scratches, Still Life, The Last Door, The Park, Through the Woods, Tormentum, Zork: Nemesis, Lake Ridden, Obscuritas, Kholat
shooter/action: Max Payne, Blood, Call of Cthulhu (2006), Nosferatu, Painkiller, The Suffering, Bloodrayne: Betrayal, Don't Starve, Hollow Knight, Legacy of Kain & Soul Reaper, Pathologic, Slain.
strategy: Celtic Tales, King of Dragon Pass, Dominions 2, X-Com, Warhammer: Shadow of the Horned Rat, Cultist Simulator.