The Warhammer 40K fanfilm Damnatus ends with a powerful daemon getting unleashed upon Sancta Heroica, everyone on the team getting killed off, and the planet itself being destroyed via the Exterminatus order of Inquisitor Lessus. Par for the course for 40K.
Twilight Revised features one, made worse by the preceding Hope Spot. The Bad Guy Wins, and Twilight gets sealed in the sun with Celestia. Might possibly count as a Bittersweet Ending, since Celestia was the only pony Twilight ever loved, and it's implied that Twilight still loves her despite everything Nightmare Moon put her through.
While Earth and humanity go through a more Bittersweet Ending in The Conversion Bureau: Not Alone, Equestria definitely gets this type of ending when the story wraps up. Although the they're able to safely make it back to their home dimension in one piece, their military is nearly completely decimated thanks to the war against humanity, and in their hasty retreat, the princesses were forced to leave roughly three thousand Equestrian ponies plus eight hundred newfoals behind to an uncertain future on Earth. On top of that, the population is revealed to be losing their faith in Celestia and Luna, and the zebra and gryphon kingdoms are not very happy to hear about the princesses' Assimilation Plot. The story closes off with the gryphon queen writing a letter to Celestia stating that Celestia's Omniscient Morality License has been revoked and that she will "know accountability for the first time."
And as the sequel The Conversion Bureau: Conquer the Stars shows, things get even worse. First, all the other countries in Equis launch a massive economic embargo against Equestria, forcing the heavily import-dependent country to become self-sufficient for the first time in ages (and not doing very well at it), all the while dealing with scarcities of several different resources in the meantime. Some time later, negotiations were re-established for the next five years, during which things seemed like they'd be okay... only for, on the fifth Hearth's Warming Eve, all nations to declare war on Equestria simultaneously. The following campaign was so devastating to Equestrianote even Celestia herself plus an entire armada of their best soldiers were crushed by the invaders in front of the entire populace of Manehattan that the Princesses were forced to relocate to another planet. Said planet is a barely habitable freezing ice ball that's infested with dangerous monsters which are only kept away by the Barrier. And even then, the relocation was done by leaving several pieces of Equestria, like the entirety of Appleloosa and literally half of Hoofington, behind. By the time the USS Calvin discovers Equestria, the country is ravaged by civil war, extremely impoverished, has lost use of the Elements of Harmony, and a resistance movement is midway through a plan to "bring the Princess to her miserable knees".