Yes. Ginger Rogers.
Before Ginger Rogers became famous for doing everything Fred Astaire could do, but in heels and backwards, in the mid-1930s, and cemented her reputation as both a fine comedic and dramatic actress, she spent a few years appearing in films from small studios, including a pair of "dark old house" thrillers.
While these aren't horror movies by today's standards, "The Thirteenth Guest" (1932) and "A Shriek in the Night" (1933) are both films that are noteworthy for anyone interested in the evolution of the horror film, with the latter being of particular note as it bears some rather striking resemblance to the slasher genre that would finally congeal with the release of "Halloween" some 45 years later. The masked, knife-wielding killer is only the most obvious of these elements.
And Rogers proves that she's was good a screamer as she is was a singer.
While Rogers appeared in many other dramas during her five decades at the top of show-business, she never again played in a film that even came close to a horror movie; after being there for the formative stages of the genre, Rogers moved on and never returned.