Hey Jasmine!
These words have a similar sentiment but there are some slight differences. If something is 'horrifying', it means that it is extremely shocking or proved to be very intense. On the other hand, another synonym for 'scary' could be 'frightening', which is milder.
I would also add that if you say "I was horrified by this movie", it also suggests that the movie didn't just make you feel fear, but that it was shocking or appalling. Some people use the phrase "I was horrified" to also mean "I was disgusted", so be aware of this too. I'm going to share a few adjectives to help you see the range and difference in expressing fear.
"That movie was ____"
scary/frightening= words to describe fearful emotions
terrifying/petrifying= words to describe being really fearful
horrifying/mortifying= words to describe shock or being appalled
Hope this helps!