Think about the word "supernatural," for a moment. Super- is a prefix meaning greater than, and natural means existing or formed by nature. When you put these two together, the word means something greater than what already exists. This is the reason why the genre is so hard to pin down as its own genre, and even as another genre's subgenre. All speculative fiction falls under the realms of things we do not find in natural today. Humans cannot do magic like the way it is presented in books, unicorns do not exist, and science fiction by definition falls out of the category, "things created by nature." The only exception that may be made to this are the parts of the horror genre which involve people as the things which terrify, because we tend to specify people who kill out of something that feels like necessity or pleasure unnatural (not natural, rather than greater than natural).
Furthermore, supernatural fictions tends to recreate ideas rather than generate new ones. After all, werewolves, vampires, ghosts, angels and demons (the major players of supernatural fiction) have all been written about and filmed before, in horror, fantasy and science fiction. What changes within the supernatural genre is the way a creature is presented. Where they once would have been called monster they are now called human. Supernatural writing not only humanizes the classic monster it romanticizes them. Because supernatural takes old ideas and reinvents them in this way (which is not wholly a new idea itself, fiction does this quite naturally over time in any genre), it is equal parts horror, fantasy and science fiction, those these parts may ebb and flow in their involvement in a piece of literature.
I would like to further propose that supernatural is not even a subgenre, but rather a supplementary genre. It classifies things that fall under all three of the speculative genres, and most often you see it after other genre tags like: romance, action, adventure, thriller and mystery. I think that is why it really is not its own genre, because it supplements a genres that regularly have nothing to do with any other kind of speculative fiction. In other words, it's an easier tag to place instead of writing all three speculative genres after another tag.
It leaves room for wonderment, though, why didn't they just place a speculative tag after the primary genre?
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