Not to be confused with Western horror, this list of horror stories set in the prairie is more about wide open spaces and harsh, isolating winters.
Books:

Daughters Unto Dust by Amy Lukavics is about a family that moves to a cabin on the prairie, but when they show up, the cabin is covered in blood. A family stuck during the winter months in a one-room house and a growing secret in Amanda’s belly makes for one intense book about cabin fever.

I previously mentioned Blood and Salt by Kim Liggett in my post about cults, but this is also about corn. Lots and lots of corn. And all the creepy things hiding in it.

Wisconsin Death Trip by Michael Lesy collects hundreds of newspaper articles from a handful of years about what happens in the prairie lands when people succumb to the isolation: a constant stream of suicides, murders, arsons, and other mental breakdowns.
Movies:

The Messengers (2007) takes place on an isolated farm in North Dakota, where this family recently moved to “help” their teenage daughter.

Children of the Corn (1984) illustrates that the prairie horror isn’t relegated to pioneers – in an isolated town full of corn, anything can happen. Especially when your car breaks down.

The Wind (2019) is what drives the isolated main character of this film insane – the incessant howling of the wind. Plus her new neighbors.
So, who wants to go live on the prairie?