Anything that could instill anguish, derealization, depondency, gloom, melancholy, sorrow, dejection, ...
I'm more interested in stuff with a grander scope, as opposed to stuff that is about the tragedies suffered by specific individuals.
Will add more bounty if needed.
1,000Flowers for algernon
Blindsight by peter watts(most fit for a grand scope tragedy)
Vortex by gaspar noe(a movie)
The tale of princess kaguya by Isao takahata
Mono no aware by Ken Liu: https://www.lightspeedmagazine.com/fiction/mono-no-aware/
"Depressing" is maybe not quite right, but sorrowful for sure.
Three grand-scope bleakness picks that I did not see above:
1. Thomas Ligotti, The Conspiracy Against the Human Race. This is probably the purest "make consciousness itself feel like the cosmic mistake" recommendation. It is not plot-depressing; it is metaphysical-depressing.
2. Peter Wessel Zapffe, "The Last Messiah." Short essay, very concentrated. The core mood is that human consciousness evolved past its own ability to live honestly with what it sees, and civilization is a bundle of coping mechanisms.
3. Aniara, by Harry Martinson. A generation ship drifts irretrievably away from Earth; the scope is civilizational/cosmic rather than one person's tragedy. The 2018 film adaptation is also bleak, but the poem has the larger, colder feeling.
If I had to pick one for your "grander scope" criterion, I would start with Aniara. If you want maximum derealization per page, Zapffe.
Being and nothingness (both depressing and hard to read)