That's a good question. I mostly just read Lovecraft's stories and some essays on them here and there, such as Lovecraft's "Supernatural Horror in Literature" (link below). I can also recommend Eugene Thacker's series on the horror of philosophy, starting with In the Dust of this Planet. Thacker’s written some other books that might be relevant, such as Infinite Resignation, but I haven’t read them. You might also try Houellebecq's H. P. Lovecraft: Against the World, Against Life, although I haven't read it and the writing might be damned pretentious for all I know.
What we're talking about here (cosmicism) is just pessimism about modernity, especially about the heart of modernity which is scientific progress (the idea being that knowledge proves counterproductive). All Lovecraft adds to that pessimism are his striking metaphors and his mythos.
There are more philosophical pessimists, too, such as Schopenhauer, Cioran, and Ligotti (The Conspiracy Against the Human Race). Indeed, Ligotti's book is a good summary since he refers to lots of obscure pessimistic works such as Zapffe's "The Last Messiah" (also worth reading and linked below). I've tried some of Ligotti's horror fiction but have found it pretty pretentious and underwhelming. Same with Cioran's aphorisms. (Alas, much of this pessimistic philosophy is drawn from Continental philosophy, and those writers are more interested in showing off than in clarifying anything.) Lovecraft himself isn't a great fiction writer, in my view. Then again, he wasn’t trying to entertain.
There are also lots of YouTube videos on the subject. I even made a few a while back (links below). Some of the other YouTube videos branch off into antinatalism, "Efilism," and other dark corners which I wouldn't recommend.
But if you're looking just for a start, you could try Lovecraft's story "The Call of Chulhu" (linked below), Zapffe's essay, or Ligotti's book The Conspiracy...
https://www.hplovecraft.com/writings/texts/essays/shil.aspx
https://philosophynow.org/issues/45/The_Last_Messiah
https://www.youtube.com/watch?v=tRbRRkKR5mo&t=1s
