See post #15 -** Baron Greenback **offers it.
And post #31 - I post how it didn’t strike me as strictly depressing and why…
The Virgin Suicides - Jeffrey Eugenides
I cried the whole time I read it, and was pretty despondent during the couple of days it took me to get through it. My husband threatened to take the book away, because he couldn’t stand seeing me so sad, but I had to finish it. It just tore me up inside. I’ll never reread it, but I’ve never had a book affect me quite that much before or since. So sad 
Bridge to Terabithia
Wally Lamb and a few others already mentioned have made me nod in agreement.
My own vote goes to Fall On Your Knees by Anne-Marie MacDonald.
Some gorgeous prose about some really bleak stuff. Seriously, do not read it while you’re going through a breakup or mourning a loved one.
- Depresses me and scares the crap out of me at the same time.
Personally, I contrast “sad” and “depressing” books. The former is when the love interest dies in the hero’s arms at the end. The latter is when the protagonist is born, horribly abused by his parents, bullied in school, has his entire family die, and his second family fall apart. This type is sucker punch after sucker punch. Of the ones I’ve read from above, A Canticle for Leibowitz and The Road are like this. Also Kafka and maybe Camus.
For me, And the Ass Saw the Angel by Nick Cave (yes, the musician/Bad Seed). It’s a Southern Gothic-esque about a boy in a shitty family who grows up to be a delusional sociopath with messianic tendencies. I think I enjoyed it, but at the same time I wanted it to end soon when I was in the middle.
No fiction can be as depressing as anything that shows how greedy and shortsighted us humans really have been (and are still being). Anything on the politics of climate change, for instance.
But as far as fiction goes, I remember that for some reason I thought a long weekend when nearly everyone else had left campus, and I was stuck wandering around alone, was a good time to read The Bell Jar. Yeah, I guess I was wearing some Bad Idea™ jeans that time.
The other day the Princess and I were going through some old stuff in her room when we found her copy. She says it’s so depressing it should be called “Bridge to Therapy.”
As for me, I would like to offer another vote for “The Doomsday Book” by Connie Willis.
Things Fall Apart, by Chinua Achebe. Imperialists destroying native culture with the twin prongs of military and religion.
As a father, first place to “The Road”.
Honorable Mention to “Sophie’s Choice”.
“Map of the World” fits in here somewhere, too.
My nomination is “Mockingjay” from the Hunger Games trilogy. I thought that the first two books were ok, but that third one. Man, what a slog. It is great for anyone who wants to know what it is like to have PTSD and depression though.
Another vote for Angela’s Ashes. I read it whilst traveling thru some very poor countries, which just exacerbated my depression. But an excellent book.
I know this is a hijack, but I think this oversimplifies the book’s message. Surely the imperialists were a catalyst for changes, but I always saw the story as more of a statement on the inevitability of change and what it did to someone incapable of changing.