South African filmmaker Jenna Cato Bass might not seem like the obvious choice to direct a horror movie. For most of her life, the 35-year-old helmer has steered clear of scares. “I was really sensitive as a kid,” she tells Variety. Even the sight of a character getting shot was too grisly for her to bear. “Horror was out of the question.”

Bass was in her twenties when she began dipping into the genre. She found herself fascinated by the form — what people found scary, and why — even while she puzzled over why most horror movies were about supernatural menaces, ancient curses or mysterious creatures from the deep: nothing that was “real or rooted in our world.”

That question would eventually lead to “Mlungu Wam” (“Good Madam”), a psychological thriller that world premieres at the Toronto Film Festival. Set in the suburbs of Cape Town, it follows a series of...