Dear Neema,
Chances are that if your dog were watching this movie alone even in the darkest and scariest of rooms, you probably would not see much of a reaction from him and he may even sleep peacefully through all the horror movie screams and sounds. The reason is that the dogs do not associate horror movies and fear like we do and most probably the reason he is acting scared is because his human is scared.
Of course, let us not rule out not so uncommon causes where the dog is probably sensitive to the sounds and sights coming from the TV. This is very similar to getting agitated during Diwali or thunderstorms and is more of a learned behaviour to these sounds. Do not reward him for acting scared by cuddling him or rewarding him with treats, but you can let him lie down next to you just for reassurance.
The highest chances for his behaviour however, are mostly due to your own reactions to whatever you are watching. However calm and composed we may appear on the outside, certain kinds of movies do tend to create emotions in us which dogs are heavily tuned to. The smallest fear in you can create a panic response from your dog as they can very quickly sense your body language and emotions. Sometimes, if you are crying over a tragic scene, your dog may even come over and lick your face to comfort you.
Again, if your dog seems to be acting weird around you when you see no reason for him to do so, do not reward his behaviour. This will only lead to him associating this situation firmly with positive outcomes and could become worse when he starts acting fearful over even small noises. You can even consult a doctor who can prescribe some anti-anxiety medication if needed or a professional trainer for remedial actions.
(Does your dog get anxious? Write to our expert at pet.faqs@gmail.com)