The Devil's Backbone (2001)

In the late 1930s during the Spanish Civil War, twelve year old Carlos is dropped off by his tutor at an isolated orphanage for boys without a word as to why, which is because his father has been killed in the war.  The kindly Dr. Casares tries to soften the blow by telling Carlos his stay is only temporary, and tries to make him feel comfortable in this new foreign environment.

Carlos is fascinated by the huge bomb standing upright in the courtyard, but the other children are used to it being there.  Bullied by some of the other boys and threatened by abusive caretaker Jacinto, one night Carlos sees the ghost of Santi, the boy who disappeared the night the bomb fell and whose bed Carlos now has.  No one is sure what happened to Santi, but Carlos has continued sightings of Santi and comes to believe he was murdered.

With Jacinto becoming more violent, the ghost intoning "Many will die", and the war getting nearer to the orphanage, things start falling apart for the boys and their caretakers, and soon everyone at the orphanage is at risk.

This was nicely done.  There aren't a ton of scares, but it's an effective story, creepy, and well shot.