Das Boot is one of my favorite films. The irony of a German U-boot surviving impossible odds in battle while at sea only to be destroyed by air power after safely docking at home port has never left me.
The end of Infinity War was pretty dismal.
I remember not being able to go see it right when it came out and people at a Marvel themed attraction in Las Vegas being very kindly spoiler free to my family so the shock of the ending was a genuine surprise.
The Road, in the opening scene if one of the parents had killed their entire family and then themselves it would have been a better life for everyone.
I would say this about all of Cormac Mc Carthy’s stories, so like Lovecraft it’s good for me these worlds exist only in the crazed mind of the author.
On the Beach is pretty bleak, but then, like all nuke war movies, it’s supposed to be.
Other nuke film downers:
The War Game (not to be confused with the upbeat Matthew Broderick film “War Games”)
Threads
The Day After
When the Wind Blows
The Last War (Japan, 1961)
Dr. Strangelove
Fail Safe
Testament
Penn & Teller Get Killed ends with… everyone getting killed, including a lot of suicides.
I’m not troubled by that ending. It was their way of emphasizing the atheist viewpoint and that we all only get one try at life. But it could be seen as a downer ending in an already quirky movie. My takeaway was that if P & T were anything like that in real life, I wouldn’t want either of them as enemies OR friends. But it was all a fiction, or at least exaggerations of them.
There are some pretty depressing episodes of Community, though, so you have to be careful.
Or does it? 
Yeah, I was just in “quick, think of a silly-ass sitcom” mode, and for whatever reason, that was the first one that came to mind. I’m sure there would be better suggestions.
Osama. The protagonist is a girl who poses as a boy in Taliban Afghanistan in order to work. Eventually, her ruse is discovered by an old man, who marries her.
In the final scene, we see the old man taking a bath. Innocent on the face of it, but it was established beforehand that a man must make ablations after sex. The clear implication is that he raped her.
The girl is a very sympathetic character; seeing this is heartbreaking.
The House of Sand and Fog
Only saw it once and walked away with “OMG, well that was depressing.” The message if there even was one seemed to be don’t bother trying to do the right cause people suck.
Going back to my teen years, Lord of the Flies (1963 version). Yes, the lead boy gets rescued, but the damage is done, and Piggy was murdered. This counts as another nuclear war downer movie already, because there is no deus ex machina to rescue the world from the fire it is going through.
Well, there’s two of them out in the antarctic wilderness, temporarily basking in the heat of the burning camp and having deliberately destroyed just about all their transportation and resources. Eventually it’s going to cool down and they’ll die. Unless one or both of them are “things”, in which case they’ll go into hibernation. But even then it’s a downer for them if they’re never discovered – perpetual hibernation isn’t practically different from death. So it’s arguably a possible win. But only for the Thing. If it didn’t already lose.
Or they get rescued. In one of the storylines explored (which I guess makes it non-canon), it turns out one of Windows’ SOS transmissions actually did go through, and MacReady gets rescued (and is tested and found to be normal).
I think the ambiguous ending is perfect, though. The whole movie was a study in paranoia and mistrust. There shouldn’t be a tidy conclusion.
Deluge (1933) – Post-apocalyptic drama of swimmer hooking up with swell guy lawyer, only to be elimidated when the lawyer’s wife and kids turn up alive at the end. She takes (presumably) her last swim at the end.
Out of the Past (1947) – Hero Robert Mitchum outwits and pwns the unsavory types trying to manipulate him…until the end.
Creature from the Black Lagoon (1954) – I cried the first time I watched the ending (without knowing about the sequels). I always root for the monster.
Paths of Glory (1957) – Having failed to take the Ant Hill, French soldiers face punishment from their lame-ass commanders. Survivors get a moment to sing before going back to war, but it hardly compensates for the bleak future they face.
The Key (1958) – Navy man William Holden hauls ass to get to the train station before Sophia Loren (who thinks he’s dead) splits. Masterful crosscutting really involves the audience in the drama. He doesn’t make it. Fuck you, movie.
Harakiri (1962) – Clan hypocrisy triumphs despite Tatsuya Nakadai’s attempt to expose it.
Night of the Living Dead (1968) – As dismal as it gets.
Chinatown (1974) – Evil wins.
Some I have not seen mentioned yet:
- Leaving Las Vegas
- To Live and Die in LA
- Brazil
Grave of the Fireflies.
I refuse to watch it, but the end of Come And See is likely as horror show as the rest. A film about the Nazi occupation of the Eastern Front is something I can image and that’s bad enough.
Raise the Red Lantern. A young woman with large potential in Warlord China is forced into bad circumstances through the death of her father. By the end of the movie she is completely broken and has been driven insane.
To Live, another Zhang Yimou film. I can’t describe it all because it’s basically a culmination of all of the events of the film. It’s the story of a well-off man and his family surviving through the Chinese Civil War and the Communist Revolution There’s no real single event that’s particularly tragic, the tragedy is the entire movie.
Sicario - That final scene of Mexican kids playing soccer with their families on the sidelines, then everything suddenly stopping while everyone looks towards the sound of not-so-distant automatic gunfire, then simply resuming their game a few moments later when the shots end. This is just their daily life. 
You missed my entry, then.