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The Giant Mouse wasn't accidental in the story, it was made to scare off the cats after all.
There's a whole lot of Adult Fear too if you put yourself in Papa's position.
If you were even remotely afraid of insects the swarm of roaches in the sewer were pretty creepy...
Imagine them if you're Fievel's size, and the roaches are bigger than you are...*shudder*
And that thing that was eating the roaches! It appears only once and is never mentioned again.
One has to be a little disturbed by the fact that Fievel was nearly eaten alive by a cat in the middle of the movie. The scene isn't played dramatically, and Fievel escapes quickly, but when you think about it for a second... *shudders*
One instance in Fievel Goes West was the hawk and scorpion scene. AAAAAAAAHHHHHHHH!
The scene in Treasure of Manhattan Island where a factory worker is beaten by corrupt cops was quite intense and distressing.
Some of the monsters Fievel imagines in Mystery of the Night Monster, like the one from the first scene.
Speaking of monsters, in the original movie, just before Fievel is washed into the sea, the waves manifest as a Satanic Poseidon that lunges at the ship, though this could be an interpretation of what Fievel thinks those waves are.