Is 'zombie' a genre now? I think stories involving zombies are usually 'survival horror', with a focus more on the survival because everyone knows what zombies are about nowadays.
If you're saying that horror and fantasy are closely related then you're right, they could both be classed under 'myth' and in even broader terms simply under 'fiction'.
There are plenty of ways of dividing stories and their elements. And when you think about it, there are even more examples of stories that don't really exist in an obvious genre.
How far is sci-fi from horror? Frankenstein. And how far is sci-fi from fantasy? Star Wars.
The differentiating factors might be found in the way the story develops. More dread and a catastrophic ending and you might be getting closer to horror.
Or even when the story is set. If you're making it clear that your story is set in a future, then that's sci-fi... but if your story is set in a universe far, far away and thousands of years ago, then that's actually closer to fantasy.
Essentially, don't let genres (or the classification of them) dictate your idea. You're the creator, create whatever you find most interesting and entertaining.
It would be easy to advise that you should think about genre when you're ready to sell a story or market it, but I know that's not realistic. You might be looking to decide upon a genre to help steer your style. And if that's the case then reading is your best friend.
The more you read, the more widely you consume literature, the better you will be at differentiating how genres work and where they mix. And you'll also develop your own personal ideas and styles to use in your own story.
Here's a tip, if you're interested in combining zombie stories and fantasy, then read two of each. Read a good zombie story and read a trashy short story. Read a good fantasy and read some trash. You'll learn what makes each genre work and you should be left with ideas to both use and avoid.