i honestly haven't seen enough sci-fi movies or really a whole ton of movies in the first place. only just recently have i started watching movies seriously - the end of last year. however, i don't really believe there is an equivalent to denpa in the west, it seems to be an explicitly japanese subgenre. the closest thing i can probably think of would maybe be twin peaks or mulholland drive by david lynch. sort of surreal stuff that messes with your mind a little. denpa literally means "radio waves" in japanese, and it is the idea that radio waves make people go crazy. so real denpa stuff would be the anime serial experiments lain. but it means more than just radiowaves - it's generally just psychological stuff that might be a little confusing to the average viewer and requires deeper analysis/multiple watches to fully comprehend. i'm not an expert on denpa so i can't provide a more concrete definition, but it's something along those lines, you sort of know it when you see it after you become familiar with the general ideas/atmosphere built among various denpa works. if you're at all into anime, another great denpa anime would be boogiepop phantom (the 2000 adaptation). I would highly recommend that one! though it is nothing like j-dramas lol.
sorry if this post was incoherent, lol.