It’s not exactly a podcast, it’s more like a show but in audio format, it’s called The Magnus Archives, it’s a Lovecraftian horror anthology. Essentially each episode is a tale from someone who encountered a supernatural thing, be it a monster, a strange person or even a book, their statements were written and are now being put into tapes by the new head archivist. Overtime you learn more about the nature of the supernatural things and the universe. I finished it recently and have been recommending it for everyone who likes Lovecraftian horror.