I think a lot of supernatural horror / fantasy fits this description, where the protagonist is experiencing something that nobody else believes. here's some of my favorites

A Nightmare on Elm Street - a group of teens are being murdered in their dreams, and none of the adults believe what is happening. 15 year-old Nancy is the only one to take the threat seriously, and after watching her friends die in their sleep one-by-one, she has to learn to rely on herself to fight back against Freddy Kreuger

Candyman - Helen Lyle, a graduate student researching urban legends, begins to lose her grip on reality when she encounters the Candyman, a mythical serial killer who haunts the Cabrini-Green housing project and is summoned by saying his name 5 times in a mirror

Pan's Labyrinth - a young girl in post-war Spain discovers an underground world of magical creatures and is challenged by a Faun to complete certain tasks in order to escape her fascist environment and ascend to her throne as an immortal princess of a faraway kingdom

Coraline - a girl with neglectful parents moves into a new house where she finds a portal to the "other" world where her "other" parents shower her with love and attention, but it turns out not to be the paradise she first imagined

The Nightmare Before Christmas - Jack Skellington, the Pumpkin King of Halloween Town, accidentally finds a door to Christmas Town, and upon returning home tries desperately to bring the joy of Christmas to his fellow townspeople who don't understand this strange new holiday

okay I just had to include that last one, you gotta admit it fits the description! this was a fun exercise