Greetings and salutations!
There are several sets you could use for your game.
For the underwater-ness - in the Sci-Fi player, there’s Atlantis, which has some atmospheric bubbles (from breathing equipment) and general ocean noise. Then from the Board Games player, there’s Abyss, which has the sounds “underwater”, “deep underwater”, “slouching through water”, which makes it sound like you are indeed underwater! In the Fantasy player there are two sets - Underwater - Deep Water and Underwater - Dungeon. Both have great underwater sounds, and each has an underwater combat (including underwater combat music!), Drowned Sailors Battle and Frog People Battle respectively, which could be your Horrors.
As for the shipwreck itself, depending on the type of ship, there are a couple of sets in the Sci-Fi player. Abandoned Space Station, Quasi-Organic Vessel, Engine Room, Alien Laboratory, and Mi-Go Laboratory for a start (I don’t know if you want to go more mechanical or more living). You can use (in the Fantasy Player) Elements - Horror to punch up some unease.
For the artifact itself, I like Preserver Artifacts (in the Sci-Fi player) as that has a great many strange and wondrous sounds, some eerie, some frightening, some strange, some beautiful, that you can layer to get the right feel for your artifact in question.
I hope that helps! Let me know if you have any more questions! 
