Because children are normally associated with innocence, creepy children are a tried concept in horror films. See movies like "The innocents" (1961, Jack Clayton) (pay attention to the title) and "The omen" (1976, Richard Donner)
Since the mass massacres on high schools in the United States, most notably in Littleton in 1999, creepy kids have made their entrance also in drama films and documentaries. Examples are "Elephant" (Gus van Sant, 2003) and "Bowling for Columbine" (2002, Michael Moore).
"We need to talk about Kevin" is somewhere in between drama and horror. More interesting than the genre classification is probably the distinction between creepy children movies with the emphasis on the child on the hand and the emphasis on (one of) the parents on the other hand. Just like in "The innocents" (although in this film the parent is a nanny) the emphasis in "We need to talk about Kevin" is on one of the parents, to be more precise on the mother played by Tilda Swinton in a terrific role.
During the upbringing of Kevin Tilda Swinton discovers more and more disturbing symptoms in her son. Because the father is absent most of the time he doesn't believe her (in the evening Kevin is really sweet). This state of affairs shows the tragedy of the mother. When it goes all right with Kevin she is crazy, when it goes out of hand she has been a bad mother.
I already called attention to the great performance of Tilda Swinton. She is the drama element of the film. Ezra Miller, who plays Kevin as a teenager, is the horror element. With lips that are a little too red, he is sometimes however a little over the top.
