I'd agree with most everything mentioned already ... would add:
"They Live by Night"
"The Plague Dogs"
"Leaving Las Vegas"
"In a Lonely Place"
"Repulsion" (anything by Polanski is at least slightly depressing)
Sirk's "Imitation of Life"
"Invasion of the Body Snatchers" (1956 and 1978 versions)
if I do not remember because I do not like to see them hurt me but I can list
1) The Boy in the Striped Pajamas
2) Invasion of the Body Snatchers "(1956 and 1978) parecetan me hard and repopulated humanity without a fight
3) The Pianist leaves me speechless
4) Life is Beautiful, is not fair that the father dies
Hi! I am new here; sorry if I violate some unknown to me rules.
May be people can also say a word or two why they found a movie depressing?
I myself cannot answer, I did not found any movie depressing. Movie may be great, good, bad, total failure. Good ones are uplifting, bad ones are boring and I drop them. I may even walk out of a theater. I know that people find some movies depressing. My wife, for example.
What has really surprised me is that people called depressing some great movies which I found very inspiring. I will list (some of) them.
1. They Shoot Horses Don't They? - This one is responsible for me being a movie buff. Before it I was interested only in comedies and action-thrillers, and considered movies as pure entertainment without a trace of a art.
2. Dancer in the Dark - one of the best movies ever made. What matters is not the execution, but the song before and the will to achieve your goal.
3. One Flew Over The Cuckoo's Nest - another one of the best movies ever made. Shows how to fight for your dignity and how far you should go (a common theme of several M. Forman's movies), something to a big extent forgotten since then.
4. Donnie Darko - not one of the best, but very good and oozes serenity.
Several other my "likes" are mentioned also. Say, Shutter Island - a triller till the very end. I value a lot a good twist ending, but whatever it is, it cannot affect my mood negatively.