https://bugs.winehq.org/show_bug.cgi?id=54235
--- Comment #2 from Christian Weiske cweiske@cweiske.de --- The requirement for AVX instructions were fixed with patch 1.08 (while I am running 1.0.11.14 (1.0.11.2 steam version).
It turns out the game also requires SSE4.2, which the Phenom II processor does not support: https://www.pcgamingwiki.com/wiki/Horizon_Zero_Dawn#System_requirements
The game required a CPU with AVX instructions on release. This was fixed in patch 1.0.8, now only requiring SSE4.2.