There´s a lot of great recommendations for typical relaxing games already so I´ll try giving another perspective.

I´ve been dealing with mild anxiety and depression for most of my adult life and am having severe problems for the last few years and often found myself too burnt out to even play games at all.

If I´d had to make a list I´d say singleplayer RPGs are my all time favorite genre-wise but today just thinking about starting a game the size of a Witcher or Skyirm or Final Fantasy gives me horrors. I also liked competitive online games but unfortunately those are a no go due to general toxicity and me tilting. I still regularly play Rocket League or an occasional round of COD but only teamed up with friends and even then I often tilt real hard real quick and have to stop playing.

What I found is that it´s 'easier' for me the harder I have to concentrate on the game at hand. So for me it´s not the immersion in the world that helps but the act of playing and forcing your brain to only focus on the task at hand. Perfect examples would be platformers like Super Meat Boy or Kalimba or the Trials series. Basically all those 'easy to learn hard to master' titles but also Shmups, DMC/Bayonetta-style games (on higher difficulties), and to some extent even the Souls series (but that can be extremely stressful too).

I can´t tell you why but I can completely zone out trying for hours to perfect Trials runs or getting that last Golden Totem in Kalimba. Games like that manage to take my mind of things way better than games that try to immerse you in their world but don´t have you on edge all the time with their gameplay. Games like Journey (which is an absolute masterpiece) today are the complete opposite for me: Since you don´t have to think much about what to do my mind quickly starts wandering back to brooding.

Anyway, just my 2 cents, hope I could give a little insight from my messed up mind.

PS: If you need anyone to talk or listen, I´m here.