Sophie’s Choice
Just thinking about Requiem for a Dreamgives me that empty,depresses, slightly dirty feeling that stayed with me for days the one and only time I saw it.
Since it’s already mentioned, and I can’t possibly top it, I’ll throw in Slingblade. Great film that I’m still not ready to watch again.
On a similar theme, Son Of Saul. Son of Saul - Wikipedia
Oy vey 
Requiem for a Dream was already mentioned, so my top answer is already out there. But I’ll also nominate Martyrs.
I can see where that’s coming from but for me it was the story of one German who took it upon himself to save as many Jews as he could.
My nominee- Perfect Storm. The boat sinks and they all die.
Many good ones mentioned.
I would add:
The Pianist. The best film I will never ever watch again
Children of Men. The scene with the empty school really brings it home.
Titanic is a mere sad film compared to these.
Lord of War with Nicolas Cage also deserves a mention.
They say, “Evil prevails when good men fail to act.” What they oughta say is, "Evil prevails."
When the Wind Blows (1986)
As all the other ones I was going to mention have been mentioned I’ll add Don Hertzfeldt’s short film World of Tomorrow. It’s an absurdist existential horror-comedy where humanity is doomed to death or a horrific meta-existence, and even the robots and aliens face a future of nothing but fear and despair.
I forget films soon after I watch them*, but this is easy because I just watched it yesterday!
As Tears Go By (1988) gets 7.1 IMDB points and was nominated for several Hongkong film awards, but I do NOT recommend it. I almost abandoned it before the end — it’s just too sad, predictably sad. (Then again, I’m a sentimentalist, often hoping for happy endings even when that would spoil the theme of the movie.)
- I don’t always completely forget the movies I watch
— but it’s hard to call them up from memory to answer questions like OP’s.
The Mist.
Requiem for a Dream is my go-to for depressing movies. It’s so depressing, it actually helped a friend of mine out of his depression.
Basically, he was depressed, and wanted to watch a depressing movie. So he came over, and I put on Requiem. I think it actually pushed his depression completely around the loop, and when it was over he was actually talking with us like normal.
Check out Vladimir Voinovich, particularly The Life and Extraordinary Adventures of Private Ivan Chonkin
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Are we allowed documentaries?
Half Life: A Parable for the Nuclear Age
An almost unbelievable example of man’s inhumanity to man.
j
Come and See a 1985 Soviet film about a teenage boy in Nazi-occupied Belarus during WWII. A great film, but a horribly depressing one.
Reading the summary, it seems to have a happy ending but I never made it that far, it was too depressing to get there.
For me, it was Miracle Mile
He was not successful
Snoopy, Come Home. Snoopy’s original owner is sick and in the hospital and Snoopy travels to go visit her encountering discrimination along the way. He is briefly kidnapped by a mean girl. The sick girl wants him to leave Charlie Brown and come live with her. He refuses but she is so heart broken he changes his mind. He tells Charlie Brown he is leaving him, but when he gets to her apartment they find out dogs are banned in the building. He returns to Charlie Brown, who is resentful that Snoopy chose the sick girl over him.