In New Testament, Herod ordering the murder of all the newborn boy babies.
The resurrection/healing of the little girl in Mark 5. Obviously her resurrection is heartwarming: "Little girl, I say to you, get up!" — but a poor little girl is dead.
Abraham's horrible trial when he was asked to prove his faith by sacrificing his only son Isaac.
Joseph's Secret Test of Character for his brothers which involves the youngest of all of them, Benjamin: he says he'll hold one of them hostage until they bring Benjamin to Egypt and when they do, he then demands they leave Benjamin behind.
Jewish male babies being abandoned or killed via Pharaoh orders.
Imagine what it must have been like for Mary, seeing her firstborn Son being beaten, humiliated, murdered in the most torturous and degrading way the Romans could devise - and this is after being told by an angel that God had a special plan for Him. Even if she knew about him rising again in three days, it's hard to keep something like that in focus when your own flesh-and-blood child is crucified and dying in front of you.
On that note, we're told how difficult it was for his disciples to deal with the inevitability of His sacrifice - Peter even pulls out a sword and starts hacking at people in Jesus' defense. Remember, Jesus was more to them than their God or teacher - he was also their friend, with whom they had traveled and did life for the past three years. Imagine if your best friend one day tells you "okay, now it's time for me to go die - don't try to stop it."
The Deuteronomy passage about what will happen to the Israelites if they don't follow the laws outlined in the book. This includes being invaded by rival nations, disease, poverty, hunger, enslavement, rape, being killed, and being driven to cannibalism.
King David's family drama. First his eldest son with Bathsheba died in infancy, as God's punishment for him killing Bathsheba's first husband. Then his son Amnon raped his daughter Tamar, so his other son Absalom murdered Amnon as revenge and had to go into exile. Then Absalom rebels against him, only to be killed by one of David's generals. The whole thing left David depressed and devastated.
Invoked by King Solomon. Two women came to him, each claiming they were the mother of a young baby and the other was trying to steal him. Solomon said he would have the child cut in half, knowing whichever woman was more horrified had to be the real mother.
Greek Mythology: Daedalus and Icarus. They were close to escaping their terrible situation, a father with his only child. Poor Daedalus has to helplessly watch him die due to something he specifically warned him against.
Celtic Mythology has a lot of this. "The Fate of the Children Of Lir" has four of Lir's five children die after their stepmother's curse on them is broken by a priest.
"The Fosterage Of The Two Pails" is even worse: Aengus' foster-daughter Enya becomes unable to eat after a Jerkass insults her (and somehow turns her Christian?), so Aengus has to search for the Dun Cow in India and bring it home. After a while of subsisting on nothing but milk, she suddenly gets teleported out of her home to a random spot in Ireland, and wanders around lost until she meets a priest. She gets baptized and starts eating again. Months later, Aengus finally finds her after searching for her since she disappeared, and asks her to come back home. But since Aengus is a pagan god and she's now Christian, she can't. So Aengus sings a lament for his lost daughter before he leaves, at which Enya dies of heartbreak.
For that matter, having your family shun you because of difference in religious belief.
Fridge Horror sets in when you realize that while the Celts strongly believe in reincarnation, Lir's children and Enya die permanently from their conversion to Christianity. Their families are immortal, but they can't see their childrenever again. Considering many of the people who wrote the mythology down were Christianized monks themselves, the focus on both parties' anguish at being separated, and the distinct lack of triumphant conversion to Christianity, one wonders if this wasn't a cultural Take That at being forced to give up their beliefs.