Junji Ito's manga adaptation of "No Longer Human" is very well done and super dark and depressing.
Kaiji is an anime/manga about a gambling addict who fights against an evil company that keeps ruining the lives of losers in debt like him. It's very cruel to its characters.
Made in Abyss is pretty uncomfortable and depressing to watch as a whole. Two kids going caving in a horrible abyss with monsters and dire circumstances.
Deadman Wonderland is about a kid who gets sent to a cruel for-profit death row prison under false pretenses and has to fight using blood magic to survive.
Attack on Titan discusses the horrors of war and the fact that the people in it aren't really in the wrong, just that the world is cruel and brought each person to that point of ever-escalating violence and pain.
Anohana is a sad anime about the bitterness of nostalgia and childhood friends but it's closer to bittersweet than depressing since it gets heartwarming at times.
