yes listen to dead can dance. and after that, when you are ready, listen to all the music they were inspired by and try to imitate.

early cocteau twins of course is so amazing... genuinely intense and chilling.
but none of these are at all like the lyrical surrealism of TMC...
that was really a special little thing wasn't it? produced a unique and singular sound and aesthetic even.
i feel like nothing of the sort has happened since.
but if it's that sorrowful, ominous mood and emotional depth you are after...
and on the "music dead can dance were trying to copy" tip,
check some Armenian Duduk (flute) recordings. and maybe some artists like Hamza El Din.