The Way (2008)

From TVTropes:

"The Way is a freeware, indie role-playing game created by Lun Calsari on the RPG Maker 2000. It consists of six consecutive episodes, the first of which was released in 2002.

The people of The Way believe that the entire world is enclosed by the Rolling Mists. The very front of the world is gradually revealed by the Mists and explored by the Forerunners, while the rear of the world is swallowed. What lies in between is the titular Way and every human being spends their life Walking the Earth, either alone or accompanied by other wanderers. Settling down is considered blasphemous and the religious order of The Guided will ensure that the people keep moving forward and live their lives the way it is intended by The Purpose.

The story follows Rhue of Landorin, a young wanderer on a quest to regain a piece of his past. As the game begins, he's been searching the Way for many years already. Rhue is setting a frantic pace for himself, desperate for a simple clue that might help guide him to that which he lost so many years ago."