Shadowrun (nintendo 1993)
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While not necessarily retro, I'd add that the modernly available Shadowrun games are VERY good, although they're more cyberpunk fantasy than reaaaaally urban fantasy.
I guess urban fantasy is just whenever my dnd group wanders in to a town then. Hard to replicate in a game except maybe baldurs gate. There is probably a vampire mod.
This was the first thing I thought of as well. Before shadowrun, it had never even occurred to me that rpgs didn't have to be a high fantasy, medieval setting.
There’s also a Genesis one which is very different in play style. I remember it being a lot more open but requiring you to lead yourself a lot more. I prefer SNES but they’re probably both worth a look.
Also the Yahama sound chip in a Cyberpunk game was a great match.
Does EarthBound count? It's sort of a sci-fi fantasy story which mostly takes place in a contemporary western setting (most of the game occurs in Eagleland, America filtered via Japan). There's ancient evils, pay phones, psychic powers, a cafe, a bunch of zombies and a multi-level mall. Not all of the game is urban, with suburban, rural, swamp and alien areas, but there's several cities to explore.
For whatever reason, I'm scratching my brain and can only come up with three urban fantasy games plus a franchise I'm not too personally familiar with. The three games are Underrail (an indie game from some years back, which I bought back when it wasn't even fully released yet, but still have yet to play), Operation Abyss (a dungeon crawler with modern-ish graphics but gameplay that definitely takes after old Wizardry games; the theming leans somewhat more on the science-fantasy side), and Tokyo Xanadu eX+ (an action JRPG that's something of a cross between Trails of Cold Steel and modern Ys games). The franchise is the Persona series, none of which I've played, and which Tokyo Xanadu gets compared to despite not being all that similar under the hood.
I don't think any of these are what you're looking for, but I hope they may help you on your search.
Persona is technically a spin-off series, the main series is Megami Tensei (often called megaten for short) and is sort of a shared universe for a lot of games.
Shin Megami Tensei, Devil Survivor, Devil Summoner, Catherine (sort of), Tokyo Mirage Session (very loosely connected) are some of them.
They're all urban fantasy, mostly set in Tokyo. Protagonists are almost always a group of Tokyo students caught in a sudden demon invasion. Demon in this context is actually any kind of supernatural beings people can believe in, including actual demons from hell, gods from all mythologies, folklore creatures, angels, urban legends, ghosts, legendary beasts and heroes, whatever.
Another main concept of that series is the Demon Summoning Program, a way for humans to contract and summon demons to their side using a computer or a handheld device of sorts. So there is generally a creature collecting element to those, like a dark and violent Pokémon that actually predates Pokémon. Rather original, lots of these games let you negotiate with enemy encounters to try to recruit them.
Maybe Astral Chain?