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WARNING: Nearly every example is a spoiler. Read at your own risk!
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The Chinese short film Miss Daizi ends with the main character surviving suicide attempts in the state of depression in a future, landfilled Earth.
The Yellow Dwarf. The titular villain ends up murdering the hero, and the bereaved heroine dies of grief not long after.
The Ram (also known as The Wonderful Sheep), by Madame d'Aulnoy (who also wrote The Yellow Dwarf). The story starts sadly, with the princess Merveilleuse being sent away to be killed for her ungratefulness. Her servant-girl Patypata, talking monkey Grabugeon, and talking dog Tintin commit suicide so they can spare their mistress, but their deaths lead to nothing. The titular ram, who has previously declared that losing his beloved princess would cost him his life, waits for her in town, but is forbidden from entering the palace. Merveilleuse told her father that the ram was actually a prince, but she was so excited in telling him that she lost track of time. The ram waits such a long time that by the time Merveilleuse sees him, he has died, leaving Merveilleuse with a broken heart.
Some retellings have Merveilleuse die as well.
Frau Trude by the Brothers Grimm. The titular witch turns the protagonist into a block of wood and throws her into the fire.
The Poor Boy in the Grave. The protagonist is killed, and his abusive master and his wife lose their home.
The Maiden and the Beast, a Portuguese version of Beauty and the Beast. It ends with the beast dying, the heroine dying soon afterwards, and her sisters being reduced to poverty.
Although it's gone through Disneyfication over the years, the original Little Red Riding Hood definitely falls under this: the little girl is devoured, rather messily, by the wolf, who gets off scot-free and wanders away. No brave hunter in this version, nope!
And this is literally the way Jin-Roh adapts the tale.
The original version of Hans Christian Andersen's The Little Mermaid. No happy ending for you.
Many other of Andersen's works do not end well. The Little Match Girl ends with a girl freezing to death, and the princess in The Swineherd does not learn her lesson and is rejected by the prince.
The Romanian fairy tale The Death of the Sun-Hero ends with its protagonist having his tongue ripped out by a crab and dying soon afterwards.
Many fairy tales from sub-Saharan Africa feature sad endings. A prime example is The Rover of the Plain, where a husband loses his wife and fortune due to her laziness and neglect of her buffalo, and the husband feeling humiliated for not obeying his parents.
Anguillette by Henriette-Julie de Murat. Hebe, the heroine, is warned by the fairy Anguillette that her passionate love may get out of control. She falls in love with a prince named Atimir, who later falls in love with her sister Ilerie. Hebe marries another prince, while Atimir marries Ilerie, but Hebe and Atimir still pine for each other. Eventually, Atimir duels with Hebe's husband. Atimir dies, and when Hebe sees the lifeless bodies, she commits suicide. Hebe's husband turns out to have survived the duel.
While the title of the tale escapes me, there's a story about a princess who refuses to marry anyone who doesn't beat her at a three-day game of hide-and-seek. Anyone who challenges her but loses gets his head cut off. The protagonist wants to marry her, but isn't good at hiding. So he asks for the help of a djinn...then when he challenges the princess, on the first day the djinn turns into a fish and hides the man in his mouth. The princess doesn't find him. The second day, the djinn becomes a bird and hides the man under his wing; once again, the princess doesn't find him. On the third day, the djinn digs a hole under the princess's floorboards and hides the man there. The man listens to the princess magically search for him until the third day is nearly up, and is releived that he won't get beheaded...then the princess stomps her foot in tantrum and the floor breaks under her feet. She looks down the hole...
Big Finish Doctor Who story "Lucie Miller/To the Death" has one of the biggest Downer Endings in Doctor Who, surpassing all the New Who endings. Tamsin is killed senselessly by the Daleks, upsetting the Monk. Alex and Lucy die defeating the Daleks, and by the end the Doctor is left broken.
To make matters worse, and crossing into Live-Action TV, "The Night of the Doctor" short that serves as the sendoff for the Eighth Doctor confirms that the audios are canon in the context of the TV show. As it turns out, the Eighth Doctor hit the Despair Event Horizon afterward when his choice not to fight in the Time War and instead try to save lives didn't do much good. When he was fatally wounded and urged by the Sisterhood of Karn not to give up on his own life for the sake of the universe, he chose to give up his ideals instead, regenerating into the warrior responsible for the genocide of both the Daleks and his own people that brought the war to an end. The subsequent Doctors refuse to acknowledge this incarnation for centuries afterward, until the events of "The Day of the Doctor" allow for a happier outcome to the Time War — which still doesn't make up for the Eighth Doctor's miserable descent into despair.
Everyone you will ever know, will ever love and will ever so much as be connected to will die at the end. Your own death will be the most lonely experience of your life; even if you die of old age with loving relatives around your deathbed, you will ultimately have to face death itself (and whatever comes after, if anything) alone.
Doubly sad if you lose someone especially close to you — your parents/guardians, siblings, spouses/major significant others, and/or children. And if you lose any of those people "before their time" (though in the case of your children, that qualification doesn't matter as you're not actually supposed to outlive your children), boy howdy is that a downer.
The London Dungeon, an attraction near the London Bridge in the UK. Now before you comment with a very smart-assed "Well DUUUUH", just read. The whole idea is a haunted house with the theme of London's downer history. It even starts with you getting a picture of yourself on Death Row. You learn about the burning of London, a doctor who preserved living peoples' organs for vitality, Sweeney Todd, Jack The Ripper, etc. Another idea is capital punishment, and you, the visitor, being subject to it (the actors even throw in some humor to lighten it up a bit). The last part is a giant drop, symbolizing you hanging from the gallows. Of course, while it's all played for fun and for scares, it is simultaneously very bleak and depressing. Still fun, though!
Now one of a franchise - York and Edinburgh also have Dungeons.
Until MultiVac has its timeless moment to figure the answer to the Last Question. And (in a very creepy way, even for Isaac Asimov's works) says "Let there be light"
One famous cartoon (seen here◊) even managed to predict the start of the next war within one year.
The Versailles Treaty itself was arguably compromised by... compromise. US President Wilson wanted to be re-constructionist, French president wanted to be harsh and English Prime Minister Lloyd-George was in the middle. The treaty ended up being harsh enough to upset the Germans but not harsh enough to stop them from retalliating. No wonder Hitler used it for propaganda.
The treaty actually would have been enough to stop the Germans from retaliating if it was actually enforced better.
The fate of Anne Frank and the other Jews hiding in the Secret Annexe of her father's factory. The fact that they all were found out and taken to concentration camps just before the war died is so tragic it makes people want to cry. A play version makes this even worse: as the residents hear the Gestapo below, Anne is trying to comfort Peter and talks about the wonderful day outside and the beautiful sky. Not sure if it's in the real journal, but Anne Frank's story truly qualifies as a Downer Ending.
I would say it qualifies more as a borderline Bittersweet Ending, given that at least her father survived, meaning Miep's efforts weren't completely futile.
Sports. There are always losers, no matter how hard they worked. Some sports are worse than others, such as when sportsmen die during the sport itself (such as the 1994 San Marino Grand Prix where both Roland Ratzenberger (who died on the Saturday) and Ayrton Senna crashed and died. Senna's death was made worse when it was revealed that he planned to wave Austrian flag when he won in memory of Ratzenberger (who was Austrian)).
In every FIFA World Cup, any team for a sincerely passionate soccer nation who gets eliminated (especially if they lose in a shameful way) will send its entire trusting nation into the abyss of grievance, given how much trust they have put to this very team that fails to bring home their glory. Also, just any soccer fan who supports this team will lose interest in the rest of the matches, too.
This can apply for a lot of sports on some level - the passion for American college football and basketball and the quest for the national championship in those sports is very high. But yes, given the nationalism involved and the fact that the losers must wait four years to try again, the World Cup does take this Up to Eleven.
The collapse of Fabrice Muamba during the March 2012 football match due to a cardiac arrest. He simply collapsed on the pitch and after he was taken off the pitch the match was over. The audience was weeping and chanting his name. Fortunately, this one ended up being a Bittersweet Ending, as Muamba survived but was forced to retire because of the damage to his body.
The 2001 Daytona 500 is considered to be the most Downer Ending in all of NASCAR if not all of automotive racing. The number of people who can remember who won that race (Michael Waltrip) pales in comparison to the number who remember what happened in the very last lap of that race when legend Dale Earnhardt hit the wall. It didn't look like much at first, but it was revealed the crash caused a basilar skull fracture, killing him. The tragedy forced NASCAR to mandate better head and neck restraints to better control head motions during a crash.
What happened to the Native Americans. Hundreds or thousands of cultures that could have enriched the world as other cultures do, just... wiped out, with a few run down reservations remaining.
And the Australian Aboriginals.
The Mesozoic Era ended with all of the pterosaurs, large marine reptiles, and non-avian dinosaurs dead, leaving behind only a handful of Archosaurs otherwise known as Crocodilians and Birds. The greatest creatures that have ever lived, gone... On the other hand, it cleared the way for all further life, making it a possible Bittersweet Ending.
The island nation of Kiribati seems to be heading this way due to rising sea levels.
As with Maldives, Tuvalu, and other island nations.
British entertainer Jimmy Savile (host of such shows as Top of the Pops and Jim'll Fix It) was one of the most celebrated people of the country, and famous for his charity work. But in 2012, one year after his death, he was hit with pedophilia charges, allegedly having molested over 400 children, often using his charitable deeds to gain access to them.
Welsh band Lostprophets. Their singer, Ian Watkins, became increasingly distant from the band, opting to live in Pontypridd whereas the band lived in California, became a drug addict and caused issues with the band, ruined a run of gigs in November 2012 with terrible singing and awful stage presence, but none of these are anything compared to the real downer: He ended up being a complete paedophile, confirming to have tried to rape a baby and planning to plot another similar offense, allegedly committed other sexual assaults and caused the band to split up due to the allegations (before they were even confirmed, mind you). Furthermore, in addition to tainting the children's childhood, he caused the reputation of the band to be shattered to bits.
The life of Michael Jackson: In the mid-1980s, he was the most popular entertainer in the world. By his death in 2009, he squandered his fortune, was accused of molesting children multiple times (and tried once; found not guilty), hadn't had a blockbuster song or album in a decade, abused plastic surgery to the point of body horror, and became a prescription drug addict who died of an overdose of propofol just weeks before he was to start a farewell concert run. His three children are in the care of the Big Screwed-Up Family that messed up his life in the first place.
Both the single "You rock my world" and the album "Invincible" did well enough back in 2001, and that was within the last decade of his life. Nevertheless though, yep, this qualifies as a Downer Ending.
Janis Joplin was prepossessed with the need to self-destruct, even crying out after finding out about Jimi Hendrix's demise because "he beat me to it!" This all originated from being ostracized by her peers in her hometown of Port Arthur, Texas, for not being exactly like everyone else. When she moved to San Francisco, she temporarily found peace amongst like minds and a creative environment, but her self-hatred and need to escape through alcohol and drugs caused her to go down the path that ended with her death at 27.
Likewise, many people who are bullied severely and/or ostracized to the extent that the young Joplin was never really fully recover from those psychological wounds that the bullying/ostracism caused, so even if they lead seemingly happy, productive, successful lives as adults, they continue to live out their lives with tortured minds and emotional problems. (That is, if they don't get proper psychological help.)
The Teacher in Space program by NASA ended this way, most schoolchildren in the USA were hyped up to see an ordinary citizen go into space... only to see the Space Shuttle Challenger explode 74 seconds after being launched, many members of Generation X felt that their future was ruined after this.
Though Vampire: The Masquerade ends with Gehenna, a vampire apocalypse, most of the potential Gehenna scenarios end on a suprisingly hopeful note. However, "The Crucible of God" scenario has three alternative endings, one of which is specifically intended for players who enjoy downers: "The Rest Is Silence" features the Antediluvians draining all life from the face of the planet in their respective quests for godhood; every single species on the planet is driven into extinction, leaving Earth completely barren and lifeless. The only survivors are the players, and now that humanity is dead as the rest of the world, they have nothing left to feed on except each other; from there, they either commit suicide via sunlight, or sink into Torpor for all eternity. For added misery points, the instructions suggest that this final decision should be made in the decaying remains of the Garden of Eden, the only safe haven from the Antediluvians' death-throes.
Warhammer 40,000: No matter how you look at it, the human race is screwed: The God Emperor's life support is failing, the Necrons are waking up, the Orks are everywhere, the Eldar are dying/being eaten by a God of Evil, Chaos can't be beaten as long as emotion still exists, and of course, the Tyranids will eat everything.
The storylines of some Magic: The Gathering sets and blocks have particularly nasty Downer Endings, since the next one will typically take place in an entirely different world anyway. In particular, while Rise of the Eldrazi's storyline is left unresolved, it's awfully hard to see how any non-Eldrazi life is going to survive and it's entirely possible the world of Zendikar itself is about to be destroyed. Several other storylines from much earlier in the game's history (Antiquities and Fallen Empires jump to mind) conclude with similar devastation, though on a "merely" continent-wide, rather than wordldwide, scale.