The nightmares of Rainbow Dash, Rarity and Applejack from the titular Nightmare Arc are a mix of tearjerking and horrifying. Rainbow Dash is seen with clipped wings tearfully muttering that she "can fly too", Rarity is rejected because of her artistic skills and replaced by her friends, and Applejack having to watch her family starve while they blame her for there not being food.
If there's any moment that could be considered this, it's Spike's interaction with Nightmare Rarity.
In another scene, Twilight Sparkle thought that Spike was killed by one of the nightmare creatures and stated that "Not even the magic of friendship could save Spike".
Issue 8 gives us the closest thing to a literal heartbreak when the Nightmare Forces crush the Fire Ruby right in front of Spike.
Later on in the same issue we have Rarity seriously considering giving in to the Nightmare Forces due to percieving herself as worthless to her friends.
In The Fall of Sunset Shimmer, during the scene where Princess Celestia denounces Sunset as her pupil and bans her from the castle, Sunset says, "This is the biggest mistake you'll make in your entire life." Princess Celestia is then shown standing next to artwork depicting her banishment of Nightmare Moon.
Princess Celestia: One of many.
Moments later, Sunset attacks the guards and jumps through the mirror. Princess Celestia, distraught, hangs the mirror in her throne room to remind her how she failed at being Sunset's mentor, while hoping Sunset comes back.
In issue #17, Star Swirl and a young(er) Celestia have been exploring strange new worlds through his mirror, and Star Swirl finds out that Celestia has been sneaking in and out of one world in particular a lot. He chews her out for the great danger she's putting everypony into with it, and angrily asks her what could possibly be worth it. Celestia tears up and replies: "What do you think is worth it?". Star Swirl then seals the portal shut, then harshly tells Celestia to never bring the matter up again. The last shot from the flashback is Celestia fleeing the room in tears, with Star Swirl sadly admitting to himself that he's getting too old for this sort of thing.
This leads to a tearjerking bit of Fridge Brilliance: in "Magical Mystery Cure," Celestia tells Twilight that Star Swirl was never able to complete his final spell because he didn't understand friendship. Given that Celestia never went on inter-dimensional trips with Star Swirl again after this incident, it's safe to assume that they had a falling-out, and never patched things up...and that perhaps, on some level, Celestia blamed Star Swirl for the whole thing.
In addition, when Celestia finally returns from the magic mirror, she's heavily wounded and collapses from her injuries. Luna, at first chewing out her sister for disappearing out of the blue and stressing her out, doesn't notice, but when she does, she holds Celestia in her hooves and begins cry.
Luna: Sister? I didn't mean it! I love stress! Wake up!
Sombra turning down a deal that would allow him and Celestia to be together.
What Celestia goes through in the Reflections arc is just heartbreaking. She loses her sister, she has a falling out with Starswirl, and even her royal duties can't pull Celestia from her grief. It's established that in her home world Celestia feels nothing but a deep, unrelenting depression that drives her to make stupid mistakes, just so she can be happy (if only for a little bit), and to ignore the price it's going to cost her, which is unfortunately a very real Truth in Television.
Main!Luna briefly feeling like Main!Celestia used Mirror!Luna as a Replacement Goldfish for her, though Celestia denies it.
Mirror!Celestia attacking Mirror!Luna in order to draw Main!Celestia to her.
During the final battle of Main!Celestia versus Mirror!Celestia, everypony comes to realize that even though the Elements of Harmony would seal Mirror!Celestia in crystal, the same thing would happen to Main!Celestia. But, Main!Celestia tells them to go through with it, because it will mean that both worlds will be safe. She says what she believes will be her final farewell to Twilight Sparkle, telling her that she will be a great ruler of Equestria.
Main!Celestia trying in vain to prevent her love from going through with it, complete with a broken heart in the middle of the "o" of her Big "NO!", makes it even worse.
Trixie trying so hard to show she has become a better mare in issue #21, even going as far as helping the police try and catch Rough Diamond, only to become the main suspect in the case. She's especially not happy when the police chief mentions her actionsin Ponyville, and when Apple Bloom accuses her of trying to make AJ look like a thief, shedding a Single Tear on the latter occasion.
The cover of Issue 23, with all the pets sadly wondering where their owners are.