I was going to suggest some written stories until I saw you wanted movies, shows, or games which this definitely isn't. I'll still leave this here though in case anyone else passing through is interested:

• Ra
• There is No Antimemetics Division

Annihilation movie, if your into the cosmic horror side of the genre

The Cube movies fit the bill, both literally and figuratively.

For anime there is Space Battleship Yamato 2199, Gunbuster / Diebuster, Last Exile, Psycho Pass and Aldnoah Zero. That's all I can think of at the moment.

The Foundation book series by Isaac Asimov. The Apple+ show might be worth checking but I have heard it deviates from the books greatly, so they might have changed how the antagonists function.

I Have No Mouth and I Must Scream by Harlan Ellison

The inhibitors of the Revelation Space universe of books by Alastair Reynolds are a sort of unknowable, unescapale, and undefeatable force.

A secret force/organization that is seemingly undetectable and unbeatable bad guys that are always one step ahead of the good guys is one of the antagonists of the Pandora Star and Judas Unchained 2 book series from Peter F Hamilton.

Control

Eldritch horrors, SCP and all the fun stuff rolled into one game. Even the setting is some kind of unknowable entity drawing the protagonist in.

The three body problem. Everytime a bigger revelation happens humanity feels smaller. I’m really excited for the Netflix adaption.

The Magnus Archives! It's an an urban fiction eldritch horror anthology podcast with a fantastic overarching story mostly focusing on what the hell is going on. I can't recommend it enough!

Wolf 359 Audio Series Podcast