I would't say they are smililiar in many aspects, but the impression? The feeling the episodes leave after you watch it?
Both of them grab your attention to the point you don't even notice you're at the end of the episode. It keeps you hooked. Although Through the Darkness is based on real events (as far as i know) and Bigh Mouth is fictional... I'd say, both leave that "emptiness" after.
So if you've watched Big Mouth and don't know that to do with your life now, or you're watching it while it's still airing and don't know what to do in the meantime, I think it's defenetly worth for you to check out Through the Darkness.