Maybe not quite what the OP is asking for, but I’ve recently read several of Donna Leone’s Commisario Brunetti novels. The main character is a police official in Venice Italy. There is considerable governmental corruption and afia influence. One thing I like about these books is that everything is not always wrapped up tidily at the end. Some crimes simply don’t get solved. Or the specific criminal act gets explained, but the powerful acts behind it continue unpunished.
I find it a very interesting contrast to crime mysteries/thrillers set in the US or England.
The Last American Virgin which had kind of a downer ending for what was supposed to be a stupid 1980s teen sex comedy. Our main character Gary is in love with Karen but she’s got the hots for Rick. After Karen and Rick have sex, she gets pregnant and Rick abandons her. Gary ends up selling most of his possessions, including his awesome stereo system, to help pay for an abortion. Over the weekend, Gary and Karen stay at her grandmother’s house while she recovers, they share some tender moments, kiss, and he professes his love for her.
Later, Karen invites Gary to her 18th birthday party. When he shows up, he sees Karen and Rick fooling around. He leaves the party and I think the movie ends as we see him driving away while weeping. The good guy did not get the girl in the end.
OMG I forgot that one (even though I own a copy). What a depressing film. I love it.
The Wild Geese. Depends who you identify as the hero, I suppose. Of the four “leads”, Janders dies at the hands of his only friend, leaving his child without a father, Coetzee died, I’m not sure if Fynn survived (he had been shot), and Faulkner survived but killed his only friend. And Limbani died.
They Made me A Fugitive (1947) – Trevor Howard is framed for murder, escapes prison and seeks to clear himself. He doesn’t.
Sunset Blvd. (1950) – Gigolo does the right thing and gets shot.
On the Beach (1959) – World ends.
The Bad Sleep Well (1960) – Toshiro Mifune fights corporate corruption and loses.
Harakiri (1962) – Tatsuya Nakadai exposes samurai honor as a fraud and pays the price.
Dr. Strangelove (1964) – World ends.
Samurai Rebellion (1967) – Toshiro Mifune waits nearly two hours before slicing-and-dicing some clan dickwads, then film goes for the bummer ending.
Night of the Living Dead (1968) – Duane Jones survives the zombies, but not the rednecks.
Three Men to Kill (1980) – Alain Delon is inadvertently involved in political intrigue and seems to think he’s cleared himself before he’s assassinated on a public street.
Le Professional (1981) – Political assassin Jean-Paul Belmondo gets revenge on the dudes who framed him before being clipped.
OP omits stories where there are no good guys or those where both good and bad end up winning or losing.
Have to add in this hijack. The scene where he is sitting on the bed telling all of that to Adrian was included as an afterthought and it is the best damn scene in the whole movie.
Another Gregory Peck-related example. Roman Holiday; at the end, Joe Bradley has done the right thing, but has lost the girl, is still in trouble at his newspaper and owes a big amount of money on a bet
Way of the Gun - the two main protagonists are not exactly “heroes,” and were never intended to be, but there are really no “good guys” in the film. The protagonists go willingly into a trap to try and salvage the ransom after they lose their kidnapee, and are killed.
The Arrival of Wang - The Italians have captured an alien who only speaks Chinese. The protagonist is a civilian translator brought in to translate while the rather sinister government agency tortures the alien to interrogate it. Who are the bad guys here? Is the alien there to pave the way for an invasion, or are the government interrogators creating a threat to Earth by brutalizing an alien visitor? In the end she sides with the alien. Who activates a machine that neutralizes Earth’s defenses, allowing the alien fleet to come in and massacre everyone. To add insult to injury, he also calls the translator an “idiot” for letting him go.
There’s an excellent adaptation that the H.P. Lovecraft Historical Society did of The Whisperer in Darkness. It’s sort of a follow-up to their silent movie adaptation of The Call of Cthulhu, but this time it’s a sound movie that they tried to make look lie a Universal 1940s film. It’s pretty faithful, for the most part, although they took a few liberties in the interests of a more filmable and visually interesting movie. But they also changed the ending so that our hero Wilmarth – uh – loses. He doesn’t exactly succeed in Lovecraft’s original story, but he fares far worse in this film.
It’s been decades since I read them, but I recall Sara Paretsky’s V.I. Warshawski novels striking me the same way. She generally solved the case, but the really big-bads never seemed to get their comeuppance.
One Flew Over the Cuckoo’s Next
The Great Escape - I’m not sure any of them got away. Not many that’s for sure.
The Deer Hunter
Night of the Living Dead. . . Those always end badly.