It's never been depicted in-canon, but you know how the series has to end, don't you?
If you're talking about that ending where Zero kills off the main cast, it was officially Jossed by Inafune; he stated that it's not in Zero's character to do such a thing. He seems to have forgotten about Maverick Zero.
Still doesn't change the fact that SOMETHING happens to them. And in the case of the 'bots, the peaceful, old-age ending is almost more tragic. Imagine a bunch of semi-sentient beings just... falling into disrepair and ceasing to function, all because their creator has died and is no longer there to keep them up. These are beings who canonically and perpetually have the mindsets of children, and therefore will have only a vague idea of what's happening to them. That's not even accounting for Protoman's apparent fate resulting from his unstable core...
That, or he ends up dying at the hands of his past self late in his life, when he gets kidnapped by a time-traveling Wily and turned into Quint, from the Game Boy version of Mega Man II. Assuming You Can't Fight Fate, this means that at some point in the future, no matter what he does or how hard he fights against Wily, at some point Wily will win against Mega Man. But he won't destroy or scrap him. No, he'll reprogram him to fight for Wily. He will then go back to the past, only to die at the hands of his "younger" self.
The ending cutscene of 2. It's enhanced by the music.
The most poignant is the ending of BN3, where everyone thinks MegaMan is gone for good. We see Lan four months later, still heartbroken but moving on with his life. Only after the credits does Lan's dad find a way to save MegaMan.
The ending is made worse in that after Lan wakes up post-credits, Mega Man doesn't speak. The poor kid could've dreamed he was talking to him.
The ending to Star Force 3 was this combined with a Heartwarming Moment. Geo's beaten the big bad twice, the second in such a way that it will never return. Except...by doing so he has sentenced himself to death in space, since fighting Meteor G generated so much noise that the rocket - the one that Geo needed to be able to get to and from the Earth and the Meteor - has completely failed. Not only that, but unlike the first game with a similar scenario, there's no capsule for Geo to ride off in, no capsule which his friends could send a signal for it to track back to Earth - nothing. And then you see everyone in the WAZA HQ realising this. But then, a message is sent to everyone's Hunter. The sender? Kelvin - Geo's dad. Hope proceeds to break down into tears as she hears her husband's voice for the first time in three years. But that's not where it ends, far from it. You see the reason Kelvin has sent out this message - and to the entire world even - is to ask them, plead with them - no - beg them to please help his son who is now floating in space, protected only by a small field of EM waves that won't last long. He asks them both as a human being and as a father, to help the boy who saved their lives. Now if you know the Mega Man series, you know that it puts a lot of effort into proving just how Humans Are Bastards, so you really don't expect much...
The entire world gets to work, distributing power to WAZA, as well as creating a Purpose signal so strong, that it literally becomes Purpose wave which begins to tug at the EM waves surrounding Geo, and bringing him home. One small problem though - it seems that Omega-Xis and Kelvin aren't gonna be able to come with him, setting it up to be a Bittersweet Ending. And during the credits we're treated to drawings depicting how Geo's life continued once he came back to Earth. However after the credits you see that though two weeks have passed, Geo has been hiding his sadness over his loss of both his best friend and his Father for a second time. Then suddenly, we see a blue shooting star crash down towards him, revealing that not only is Omega-Xis fine, but he's brought someone with him. Cut to the Stelar household where Hope has just finished making dinner, to find her son walk through the front door with not only everyone's favourite alien - but with the man she loves. Cue the Happily Ever After.
Comparing Dr. Wily between the standard universe and his alternative in Mega Man Battle Network. In the latter, he eventually manages to put behind his rivalry and goes on to help the world. In the former, he goes completely off his rocker and tries to spell doom for the world for centuries after his death. It'd be sad and pathetic if if didn't cost billions of people their lives.
While true in the American Battle Network, in the Japanese version Wily was unrepentant and died with his hatred at the end of 6.
That's also pretty sad.
The Ruby-Spears cartoon had this too. Near the end of "Bro Bots", Mega Man saves Proto Man's life during their fight, despite the latter betraying him and his family after pretending to be good. After a corny line, Proto Man grows serious and asks if he's getting sentimental. Mega responds that he owed Proto for telling him about the scrambler chip he'd placed on him, and now they were even. Then sad music starts playing as Proto Man leaves to rejoin Wily.
Not only that, but Proto Man punched through a glass window as he made his escape. The shards became embedded in the now-cooling lava, and you saw Mega Man in their reflection. Not moving to stop Protoman. Just sitting there, staring at where his brother left...
Proto Man: Until next time, bro.
Mega Man: *bitterly* Yeah...until next time, bro.
Another was in the episode "Mega-Pinocchio". After believing he was turned into a human, Mega Man failed to stop Gutsman and Cutman, taking the blame for letting them get away. It was really Wily toying with his mind that made him hesitate, but Mega was unaware of this. He ended up talking to Dr. Light about it, which resulted in the following lines.
Light: Don't be upset, Mega. Failure is a human quality. But we humans learn from our mistakes.
Mega Man: ...Am I one of your mistakes?
After playing 10, the scene in "Robosaur Park" with Mega and Roll arguing over who should take the antidote becomes a lot sadder. In both scenarios, Roll gives the same reason that Mega Man should take it. She couldn't stop Wily. He could.
Of course, his following fifteen attempts to take over the world cast doubt onto his honesty.
How about Fire Man's death? "Don't you want... a peaceful world?"
Wily's tormenting of Roll.
Try reading this Dorkly comic. Really sad for Mega Man and worse if you've played 6.
Issue 28 of the comic. Roll takes a Charged Shot fired by Break Man meant for the more armored Mega Man. The reactions of Rock, Cut Man, Guts Man and Bomb Man are bad enough...but you actually see through Blues' helmet and see him looking on in horror. A fan theory is that he remembers the moment in Worlds Collide when Roll repaired and healed him.
In issue #35 of the comic, Break Man goes to talk to Tempo about the meaning of "family" and dealing with the whole Death of Personality that occurs when a Robot Master's personality core has to be repaired/replaced. The whole scene is emotional due to the subject matter and the full disclosure of just how different Tempo is after her emotions were restored. What takes the cake however is when asked if he simply cannot bring himself to forgive Dr. Light over a what if, Break Man finally snaps and screams "HE REPLACED ME!" Oh Blues...
Tempo and her creator Dr. LaLinde's heart to heart after Blues storms off seriously tugs at your heart.