In Ancient Egypt, there's a quick yet Squicky moment where Mr. Peabody and Sherman are thrown into the Egyptian tomb, and Sherman grabs Peabody's paw in the darkness. Only when Peabody lights a torch, Sherman is holding the hand of a decomposing mummy! Mr. Peabody's pun "That's disarming" didn't help.
Seeing both versions of Sherman and Mr. Peabody attempting to separate their paradox selves was disturbing.
Also the fact that after the two have merged it should still mean there is a copy of Penny trapped in ancient Egypt about to marry King Tut.
Ms. Grunion herself just has the appearance of that mean, scary lady that is there to frighten children. Even her facial expressions when sharpening a pencil and blowing the shavings off is somewhat chilling.
Also, something of an Adult Fear, the idea of someone trying to have your child taken from you for such a petty reason.