Here are some that come into my mind.
groundhog depressing
Eternal Return by Silver Pad
Sisyphus by esama

dystopia depressing
As portioned from a whole by cannibainc
Anything but Slytherin by IP82
No Glory by ObsidianPen

 

Blackpool a fic about the life and times of one Regulus Black has been known to make me repeatedly cry like a bitch.

 

Sure you've heard of these before:
To Shape and Change byBlueowl
Hey, Fred by hedwidgeon
Survivor by atruwriter
The latter being more angst/tragedy

If you're looking for depressing original fiction, might I recommend The Magicians by Lev Grossman

 

The First Day is an oldie that covers the first year or so after the war. I haven't read it in some time, but it's one of the first stories I remember really enjoying despite it delivering the gut punch at times.

 

The Substitute by BajaB is a good one that I keep going back to when I'm in the right mood for it.

 

To piggyback on Paradise's post, pretty much everything by The Divine Comedian is sad and well-written. I'd suggest Calibration and Two Things.

 

Circular Reasoning.

 

I never fail to tear up when reading The Asking Price by Garamonder. One of my favorite fanfics of all time.

 

Ricochet has some effective gut punches but it's not for everyone.

https://www.fanfiction.net/s/7958343/1/Ricochet