Can't say they're at the same level but then again haven't found any to match.
I still have too many shows to watch, even well known ones (like Breaking Bad), so my list is limited. Of a similar setting to GoT are Rome and Vikings, still on my to watch list.
Black Sails - really good, plenty of swashbuckling, dialectics and nudity. IMO the closest to GoT. Battlestar Galactica - starts slow and has its annoying moments, but it's really good. It has amazing characters and raises interesting questions in, often times, morally grey scenarios. It also has a dose of metaphysical to it. The Expanse - space opera set in a not so far away future. I really enjoy the world and setting. The story is interesting too. For some reason I'm not really fond of most characters (or should I say actors). GRRM thumbs up the novels and the show is (I believe) close to it. The Man in the High Castle - set in a world where the nazis won the war. The world, the characters, the plot and the interactions are all very interesting. It also has its dose of bleak moments on less obvious (or forgotten) implications of nazi ideology. Walking Dead - hit and miss tv show. However the seasons with Neagan are pretty awesome. That character really is at another level.
'On the same level' as GoT is difficult to quantify on its own as there are many different aspects that make these shows great to watch. E.g. Story/plot/writing quality, the sound & music, the acting, the casting, cinematography & lighting, and production values (e.g. how much money/effort is put into props/costumes/locations to make each scene feel real). I can't think of any one show that exceeds or even equals GoT in all of these categories.
Many of the suggestions in post #2 had equal or better plots and writing to GoT, but I don't think they hold up to GoT in terms of production values. Cinematography on Black Sails was fantastic, but the casting and acting weren't quite on GoT levels. Downton Abbey has excellent production values, equal to GoT maybe (the costumes and props are incredibly accurate), and the writing/dialogue is quite clever, but the plots and stories are a bit bland to me.