First, Lovecraft himself wrote, or tried to write, a detective story -- "The Horror of Red Hook," aimed at DETECTIVE TALES, 1925, but published in WEIRD TALES, 1927.
Several of his direct followers combined Lovecraftian horror with mystery -- see, for example, Henry Kuttner's "The Salem Horror" and "The Black Kiss" (with Robert Bloch), both 1937, and both featuring occult sleuth Michael Leigh.
Also see Brian Lumley's short stories and novels featuring Titus Crow -- detective stories set in the Cthulu mythos.
And probably the oddest of all --Carole Nelson Douglas' MIDNIGHT LOUIS IN SOMETHING FISHY (separately published short story; Fort Worth: Cozy Noir Press, 2003). Carole Nelson Douglas’ Midnight Louis books are some of the most popular examples of the craze for cats-as-detectives. In this story Midnight Louie comes up against the world of H.P. Lovecraft
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