It might or might not be a supernatural one, but it's definitely a "weird western" in other ways. I'm almost sure it's from either the early 2000's or late ' 90's, and even though I've never known him well, I'm almost sure it has Mickey Rourke. (I can't find anything with him in IMDB that matches it, though.)
I only came in on the last parts of it, but it's about a group of western characters (maybe not all-out gunfighters) in the desert, who are up against some "unstoppable force" kind of character (who again, might or might not be supernatural, but seems to be). They have some kind of back story with him, but I'm not sure what. In one scene, one of them has been missing for a while, and when he rides back, the others accuse him of making some deal with the man they're up against, and threaten to kill him. He becomes so upset by that that he shoots HIMSELF. Which sounds very melodramatic, but there's some part I'm leaving out (I think maybe he was about to give up on surviving and already close to shooting himself, and being accused like that was the last straw; something like that).
Does it sound familiar from that description?