Both the movies involve Asian shamanism and Asian occult themes. Both movies also involve themes like demonic possession as well as black magic, curses and traditional ritualistic stuff.
Both horror films go around a possession case set in a village/rural area, either from Thailand or South Korea. As The Medium's producer, Na Hong Jin's work constitutes a big force of influence, making it obvious its resemblance with The Wailing.
Both horror stories that feature shamanistic rites and supernatural beliefs. One is to cast out a demon from a human body while the other is to prevent (the death of) an unmarried guy from becoming a vengeful ghost.