I recommend you see part 1 of my Depressing Shit series and read my original disclaimer here; now here's installment 8.
More depressing (or depressing-sounding) movies...
Affliction [Don't remember, but I must have put it on my list for some reason]
The Boost [saw it a long time ago; pretty sure it was depressing]
Fox and His Friends [Fassbinder. So, you know.]
Little Moth (Xue chan) [child abuse! extreme poverty! Not going to see it!]
Save The Tiger [saw it relatively recently; pretty depressing. The 70s-ness definitely didn't help.]
...and just about every movie I've seen about boxing or wrestling. There must be exceptions, but it's a good general rule to avoid these.
OK, that's enough thinking about this shit for a while.
More depressing stuff: Read Part 2 here.
And here's Part 3.
And Part 4! Are you depressed yet?!
And as always, I welcome your suggestions for More Depressing Shit. Do comment, and I'll include any good suggestions in a future update.