This game is actually a bit before my time since it was released two years before I was born, but the original XCOM game (aka UFO: Enemy Unknown) is still one of my favorite games of all time. And it’s just gotten better over the years with fixes and modding through OpenXcom.
I like the modern Firaxis games a lot too, and Xenonauts even moreso, but nothing has quite hit the same as the OG.
Maybe try Hades or Dead Cells if you like roguelites/roguelikes? Fundamentally different genre but gives me a lot of the same vibes. You inevitably die every run, but you keep all the meta-progression/upgrade resources you found during that run. So really, dying actually just gives you a chance to spend those resources to get stronger rather than taking away your progress.
Roguelites sound like a good fit for you in general if you like challenging, arcadey games that don’t punish you too severely for dying. It’s usually expected that you die a lot lol