The Plot by Jean Hanff Korelitz.
To say anything more would be spoiling it.
But it’s so much worse than that! Minutes later, they would all have been rescued; he shot his kid for nothing. ETA: you implied that in your post, sorry.
How about The Great Gatsby? Maybe not quite a hero, but man, how he lost.
Especially on a manic Monday.
To answer the spoilered question, I believe it was something from Goop 
Paths of Glory - Kirk Douglas tries to defend three soldiers in a court martial but the entire proceeding is a farce.
Star Trek DS9 episode Take Me Out To The Holosuite - the DS9 crew lose a baseball game to the visiting Vulcans but celebrate a run like they actually won, much to the Vulan commander’s protests.
He won by a kick to the head, a move specifically called out as illegal. It’s never mentioned by anyone in the tournament how the winning move should have gotten Daniel disqualified.
beowulf.
Here’s one that is not well known but always impressed me: “High Eight” by David Stringer AKA Keith Roberts. A malevolent entity has taken residence in high voltage power lines; it feeds on humans by luring them on to transformers in substations. and frying them Our protagonist realizes what is happening and sets off with a load of dynamite to blow up the main supply connection… but as he get near, he too falls victim to the hypnotic power…
Pretty much any series with an overarching story. The heroes can never really win, because that would be series over. In fact things almost necessarily have to get worse and worse for the heroes because any victory they ever claim can only ever be temporary.
But Murphy was such a raging Dick in this movie. Only a ‘Hero’ compared to Nazis!
Nah. They were Soldiers. Well, maybe Hancock was a murderer.
The Day the Clown Cried - Helmut gets sent to the gas chamber.
Concerning Cuckoo’s Nest: McMurphy was lobotomized and laid out cold on a gurney as an example. He wasn’t laughing last, but he was why Bromden decided to make his move.
Sounds like the ‘lensman’ series by E. E. Smith. Every time the bad guy is defeated, it turns out he is just a puppet for the real villain, who in turn is just a front for a deeper level of control… until we get to the Eddorians, who are behind it all… or are they?
The debate over whether the move was illegal or not was brought up a few times on Cobra Kai. Johnny says that it was illegal, Daniel insists that it wasn’t. And the move was allowed in at least one other instance.
Nope.
The rules are explained to Daniel by Ali, and what she says is:
“Everything above your waist is a point. You can hit the head, sternum, kidneys, ribs. Got it?”
The warning Johnny later gets is for “illegal contact to the knee.”
At the very beginning of the match, Johnny starts with a flying kick which Daniel dodges, then continues to throw a series of kicks that are clearly aimed at Daniel’s head, which he blocks. No warning.
As the fight continues, both fighters earn points for strikes to the head, once when Daniel does a scissor leg takedown followed by a back fist to the back of Johnny’s head while he’s on the ground. Point awarded. The ref instructs Johnny to see his sensei for the resulting bloody nose.
When the match resumes, Johnny kicks Daniel’s forward leg out from under him with his right foot, then follows with a left leg kick to Daniel’s face. Point awarded.
Not to mention head strikes are clearly legal throughout the “You’re the Best” montage of the tournament up to the final matches.
Gharlane, is that you?
They were also historical figures. If memory serves, the director expressed regret (though I don’t know under what circumstances or how sincerely) for portraying them as heroes, when the historical record suggests they were in fact murderers (and there was way more to their activities than depicted in the film).
Still a fine film. Highly recommended.
The Lord of the Rings:
‘But,’ said Sam, and tears started in his eyes, ‘I thought you were going to enjoy the Shire, too, for years and years, after all you have done.’
‘So I thought too, once. But I have been too deeply hurt, Sam. I tried to save the Shire, and it has been saved, but not for me. It must often be so, Sam, when things are in danger: some one has to give them up, lose them, so that others may keep them.’
Asking our hero in hiding (and OP) @Kent_Clark - we’re getting a lot of pyrrhic victories, tragic victories, or victories at a cost. Do you want out-and-out failures, or more of the same. Because we get different answers.
And as for a ‘hero’ loses, do we want to include all protagonists (including anti-heroes and likeable villains) or just white-hat types?
Stories where the hero dies but his dying saves the day don’t really count.
Anti-heroes depend on whether you like them and whether they’re just ne’er do wells or out and out criminals. Likeable villains don’t count.
Defeat in the middle part of a multipart series doesn’t count.
Stories where there’s no clear victory or defeat don’t count.