Just recently started playing it for the first time myself, so you're not alone! ;)

If you're looking for something in roughly the same vein, gameplay-wise, I'd suggest the Witcher and Gothic series. I can't give specifics, as the only game from either of these series I've actually played is the original The Witcher, and I only got maybe halfway through that. But both series seem like they have a lot of world-building, choice, and interesting characters (though your mileage may vary on that last one). If you're okay with a bit of pirate flavor, maybe also the Risen games, which were made by the developers of the first couple Gothic titles. Unfortunately, I can't think of any other action RPG of this type with a setting so unusual (giant mushrooms and weird critters, etc.) where it's not meant to be goofy or whimsical. The series I've mentioned are, as far as I know, set in much more conventional fantasy settings (and this goes for the other Elder Scrolls games, too).

I would give Risen (part of the Gothic series) a shot and Divinity2. The Witcher1/2 are very restrictive in movement compared to Morrowind.

Risen -> you can move around as you like and do quests as you like with factions that you can join or fight. The world is so detailed, wolves eat cadavers of animals you shot and animals even sleep at night, so you can sneak up to them.
Divinity2 -> another title with a brilliant storyline, you can read people's mind in conversations and fight your own twisted personality in a way until you can turn into a dragon and go where you couldn't go before, build your own tower with servants to choose. The world changes as you progress the main story. MMO style side quests if you choose to do them.
Two Worlds Two -> also a very nice world to explore with a lot of people to talk to. You get a boat at some stage and can explore the sea with several different islands (you need to stear by actual turning the seal into or out of the wind)!

If you are OK for a genre change :)
STALKER -> OMG so brilliant, super easy to learn and hard to master. You are on your own to gather scraps at first and slowly make your way through the zone. You cannot really win this game, just play it and find out who you are...
Starpoint Gemini2 -> put the foot on the gas pedal and cruise through the galaxy, enjoy the view or go hunting as a pirate or protect law and order, become religious with many of the possible factions.

All these titles have no levelled npc and free movement, little handholding in quests.

I agree with what most people have said.

Gothic 1 -> Gothic 2
Risen
Gothic 3 (not a fav of mine, but some people like it)

Divinity 2

The Witcher games.

The other Bethseda open world rpgs may be to your liking as well. You probably have to look on Steam to get the ones newer than Morrowind, though other digital download stores may have them as well. Oblivon, Skyrim, Fallout 3/New Vegas, and Fallout 4 all have decent sized worlds along with quests and side activities to help you get lost for several days. Buying Morrowind should have added Arena & Daggerfall to your GOG library, if you want to try the older ones.

If you want some more action and less freeform "do whatever you want" (but still having that element), something like Kingdoms of Amalur: Reckoning may be of interest to you. A deeply flawed game that was originally intended to become a MMO, financial trouble forced the studio to retool everything into a single player experience. Large areas, but a good amount of variety, lots of running, a ton of very uninspired side quests, but a few fairly inspired ones as well (though some of them have disappointing payoffs). The biggest positive is the world design, both visual style and background lore, which absolutely is great.

I agree, you might want to give those a look as well. They show their age a lot more than Morrowind, but you might be able to deal with that if it interests you to see where Morrowind came from. It depends on whether or not you can live with their oldness.

I'll toss out one more title, just because it's such a great game. Vampire -The Masquerade : Bloodlines.

It's very different from Morrowind in many ways, but it's similar in being a 3rd person perspective cRPG with real-time combat and a very engrossing universe. It's not on GOG yet, but you might want to keep an eye out for it in the future since it's one of the most requested titles in the community wishlist.

EDIT: I say 3rd person perspective because that's the way I play Morrowind. VtMB has a similar setup in that you can switch back and forth between 3rd PP and 1st PP at will.