When someone tells you they enjoy horror movies, it sounds counterintuitive. Maybe you even see them as weird? Who would in their right mind pay money to experience feelings we normally try to avoid, right? The reason is not as weird as you might believe. Psychologists and researchers have found a few reasons why we enjoy being scared.

Remember, the horror genre is nothing new. We have told horror stories by the camp fire for hundreds, or even thousands, of years. Horror tales have been used to teach morals, like the fairy tales from the Grimm brothers or the Norwegian folklore with trolls. Already here, we see one of the positive reasons of horror: It is a way for us to learn lessons while bonding through shared stress. We have a natural "morbid curiosity"; We are wired to pay attention to things that could kill us, so we can avoid them. Horror satisfies this curiosity in a safe way. The horror media have extendend to music, games and movies. I will focus on horror movies, but elements might transfer to other medias.
The most obvious reason why we like the thrill of a horror movie is the chemical cocktail horror helps us produce. During an intense scene, and shortly after the scene, we produce adrenaline, cortisol, endorphins, oxytocin and dopamine. In a threatening situation in real life, we get a similar chemical cocktail. This is also happening when we are riding a roller coaster. The largest difference is that we are in a safe place when we watch a movie (and relatively safe in a roller coaster). Our subconsciousness is still telling us we are safe, even if we have the "fight or flight" reaction. A notable detail is that for some, it's not the fright itself that is the best part of the experience, but the relaxing part right after the scene. This is the time we feel the dopamine rush. It's euphoria, a relief.
But horror movies can also be mental "practice" for handeling stressful situations from the past, in the present or in the future. For instance, horror fans who have seen a lot of apocalyptic horror movies were more resilient to the COVID-19 situation than people who weren't horror fans. The situation can also be something more low-key, like fighting, being chased or solving sticky situations.
Horror movies doesn't only help us handle situations, but it teaches us to control our fears. You may say watching horror movies is a kind of exposure therapy. For a depressed person, a horror movie may give the person the right stimuli to pierce through the numbness the person feels. Horror movies can also act as a "pressure valve" to release built-up tension. In short, horror movies allows us to channel our negative feelings to a fictional vessel, allowing us to release our emotions.
In theory, horror movies CAN help you handle stress, anxiety and depression. But remember; what works for one person might not work for the others. For example, if you have PTSD, it is generally not reccomended to watch horror movies. If you somehow are in doubt, think twice if watching horror movies feels right for you.
All in all, if it feels right for you, it's OK to enjoy horror stories, no matter if it's a novel, game, song or movie. If you enjoy relaxing while watching true crime shows on Netflix, or if you laugh at Freddy Kruegers dark jokes, it doesn't mean you are a psycho. It might just be you taking care of your own mental health and well being. If watching horror films doesn't feel right for you, that is also totally OK. The horror genre is not for everybody.
Further reading
Excitation Transfer Theory by Dolf Zillmann
Benign Masochism by Paul Rozin