The Lost Heir trilogy broke my heart into a billion pieces when I discovered who the Red Wizard was. There’s other sad events that can happen or that definitely happen, but that one was by far the worst. Particularly with what happens in the final scenes of Lost Heir 2.
Evertree Inn can also get depressing with certain experiences on different read throughs and the main story’s underlying details too. For some reason, Orion’s quote to the MC about how he would “do what he’s told” if it came down to killing Jewel or not really broke me. It’s just so clear that this man has been through it and for it to be so matter of factly put… it hurt my heart.
The Versus series is a heavy-hitting, emotional ride. So far, you have had to choose between characters to die twice and this choice must be made. There is no inbetween or way that everyone can be happy which was gut-wrenching for me as someone who usually attempts to play the peacekeepers.
I also second a couple of choices from above:
In Choice of Magics it is very possible for the MC to lose everything and everyone in horrible ways if you aren’t careful so it was pretty heartbreaking at times despite being an ultimately hopeful story.
And Community College Hero. It’s mostly an uplifting and often humorous game, but there are serious character deaths including that of a child, and they hit in a big way. Some of them are unavoidable. You really get the feeling that there’s big stakes and no one is safe in that game which I like.
For other games that had me broken up inside for a while:
Broken Age: This is equal parts hilarious, surprising, heartwarming and sad. It’s a great click adventure game with a beautiful soundtrack, fantastic visuals and voice acting from some greats like Elijah Wood and Jack Black, so check it out if you haven’t.
Stardew Valley: Another one that lifts your heart and smashes it at the same time. It’s a very nostalgic, sunny game and it is relaxing to just chill for hours on your track of land. But the story itself, particularly with some characters, gets real for a farming game, haha.
The Beholder Series: This takes place in a dystopian world where you actually work for the government. It’s an interesting and unique look into elements that are usually coming from the flip perspective.
I have others, but this list is getting long already and those ones are more suitable for specific interests anyways so I wouldn’t suggest them here.