A minor point especially compared to everything else coming, but the fact that Ritsuka and Mash's first encounter with the Demonic Beasts are shown to be Bloodier and Gorier compared to what viewers (likely long-time Fate/Grand Order players) are used to shows how brutal, in fact, do your fights tend to be. On a Fridge Brilliance note, it also explains how it is possible for you to extract materials/body parts out of them.
A proper horror appears in The Stinger of this episode, where it seems a number of Uruk's warriors have been captured and sacrificed to "Tiamat"/Gorgon. One is shown being bisected as they are being eaten.
The opening of the episode is a Call-Back to the denouement of the London Singularity: Solomon wiping out the team of Servants you were fighting with at the time. It's unsettling to see all those featured (Kintoki, Tamamo-no-Mae, Andersen and especially Mordred—all powerful Servants in-lore and in-game), fall defeated and/or dead without resistance.
The seemingly-pacific town of Ur is implied to have been forced to engage in Human Sacrifice (especially of its battle-ready men) to appease the "forest goddess" that took over them—later revealed to be the goofy-yet-lethal Jaguarman. While Jaguarman claims she only engages them in forced labor, the fact that this is Not So Different/just a step away from what "Tiamat"/Gorgon has been shown doing doesn't exactly give confidence.
A large part of the episode involves Ritsuka & co. going to the town of Kuth, where everybody who lived there died sleep-like deaths. Right after they arrived, everything was very eerie, but when they decide to split up it gets much worse. Not long after splitting, Ritsuka and Fou suddenly find themselves in a dark cave, followed by them running into the spirits of the dead, revealing that they went to the underworld. The spirits try to strangle Ritsuka to death so that he joins them forever, only stopped by a combination Fou shouting at them and the old man they met in Uruk sending them away.
After that whole ordeal, plus a chance encounter with Ishtar, the group decides to wait until nightfall. This turns out to be a bad idea, as the souls of the dead come back to life to try and claim their lives in the land of the living. Due to none of them being good for dealing with a horde of undead, they only escape thanks to the whims of Ishtar (Actually Ereshkigal)
When Ushiwakamaru attacks a Demonic Beast, she kills it with a Slasher Smile.
The Fake Enkidu reveals to Gilgamesh's men that the Demonic Beasts are made of people and attempts to kill Ana (and still defeats her despite Merlin's help and one-shot an Ungallu). She would be dead if it weren't of Merlin ordering Fou to teleport her.
Gorgon's debut in a nutshell.
The scene of Ushiwakamaru being held captive in the Bloodfort. The entire chamber looks like it's made out of flesh, and there are pods lining the walls. As Kingu speaks, several of the pods open, each birthing an Uridimmu. Furthermore, when Ushiwakamaru says something to Kingu that he doesn't like, Kingu shoves his hand into her stomach, drawing blood and putting her through pain for the rest of the scene.
The way some of Ushiwakamaru's clones go out is rather graphic. Special mention goes to one that is heavily implied to have been torn apart by 5 snake heads.
Episode 10: Quetzalcoatl's Game Face which is even more frightening than in the game since besides her razor sharp teeth and narrowed eyes, purple mist seems to exit her mouth each time she makes the face.
Episode 12: When Ishtar talks about the last time she went to Kur, we see her as a black outline behind a red background as seven spears pierce her.