NieR:Automata™ (published by Square Enix)

There are many possible endings; none of them are happy or uplifting. One witnesses several characters (to whom one likely has become deeply emotionally attached) die horribly, with two of them battling one another to the death near the end. No one is ever truly saved and the entire meaning of the conflicts in the game are lost, as it all seems to become naught but a cruel lesson in hate, futility, and despair. This is indeed a shame, because the visuals, the combat, the environment, and the music result in a vibrant creation which is very immersive and duly impressive. Nevertheless, there is an ending where the characters are "reborn" to repeat the heart-rending story yet again, as if in an endless cycle, one without hope.

I'd expand that to "anything by Yoko Taro".

- WARNING: SPOILERS FOR A TERRIBLE PS2 GAME YOU SHOULD NEVER PLAY (BUT YOU SHOULD ABSOLUTELY READ THE LP OF IT ON LPARCHIVE) -

In his first game, Drakengard, every ending requires more effort to unlock than the previous one, and in each of them, things get worse than the last one. The first, which legend says Taro was forced to include by studio bosses against his wishes, is the only one in which the world doesn't end. There are five endings. The fifth involves not only the end of the Drakengard world, but it ****s up another universe too, leading to NieR.

Little Nightmares

To the Moon (not ashamed to admit I lost some tears to this one)

Machinarium

Enderal: Forgotten Stories

Penumbra
https://www.moddb.com/mods/penumbra-necrologue (4. chapter)
https://www.moddb.com/mods/penumbra-twilight-of-the-archaic (final chapter in the story)

Amnesia

Primordia

Stasis

Outlast

Really good games but yes, depressing in their own way...

EDIT: Oh yeah, forgot Apsulov: End of Gods...

I can't remember what it's called, but it involves looking at forum posts on GOG late at night :). Hang in there, downs are part of life as much as ups.

To answer honestly, the "The Longest Journey" series of games have their depressing moments along with dark themes and a somewhat bitter-sweet ending. I remember having the worst kind of mixed feelings I ever had about a game when I finished the third (and final) game, wishing the whole story had ended better in some ways.

And Cayne, which I found even more of a downer.

Bioshock Infinite.

I dont know why all the sequels to the first bioshock have sad endings. What were the developers thinking ?

One of my favorite games.

One ending is literally that 9S runs away and does his own thing never to be seen again.

There's 26 endings from what i saw, one for each letter in the alphabet. Thinking about it, yeah a lot of them were kinda bad... Hmmm..