“Whenever five or six English-speaking people meet round a fire on Christmas Eve, they start telling each other ghost stories,” wrote Jerome K. Jerome in his 1891 story collection, Told After Supper. This custom, heightened during the macabre-embracing Victorian era, may have its origins in the Yuletide season’s pagan antecedents: At the darkest point of the year, the boundary between the living and the dead is believed to be thinnest, conjuring weirdness, worry and unease.

Like all folklore, ghost stories serve educative purposes. Mexican children, for example, are taught to avoid wandering alone late at night for fear of La Llorona—a woman believed to haunt riverbanks looking for her drowned children. They can also reveal uncomfortable truths: In the United States, the panoply...