Prince de Guéméné shooting a starving young Street Urchin in the back despite Rosalie's pleas. It's made all the worse by Oscar's rage and tears over the sheer injustice of the act.
Poor little Charlotte's madness and suicide after being forced to marry a much older man. Yes, she was a Spoiled Brat, but when you see her dancing madly on a balcony and tearfully yelling "I don't want to get married!" before falling to her death is heartbreaking.
Even more when Rosalie puts on a Jerk Ass Facade by saying she doesn't care about her half-sister's death, but then cries anyway.
The Dauphin's death.
Andre trying to hide how he's going blind and Oscar being unable to say she knows the truth.
Namely, Andre starts losing eyesight on his remaining eye, and at some point he stands next to Oscar's new portrait and starts giving a flowery false description of it to not let Oscar know his eyesight problems. Oscar then tearfully says the picture is as gorgeous as he says it is, not having the heart to tell Andre that she knows the truth.
Diann's suicide after her fiance abandons her. Specially when Madame de Soissons tearfully explains what happened, and when Alain (Alain, of all people) cries.
"Her tender smile and cheerful voice are gone. Until I can come in terms with this, I'll stay here... I'll stay by her side!"
Andre and Oscar's deaths.
The fact that Andre dies the day after him and Oscar finally get together.
The fact that Oscar was killed defending the Bastille is just the cherry on the sundae of despair for this normally stoic troper, who sobs like a baby at this series.
Antoinette's separation from her children and what one of the soldiers tells her about his own child's death by starvation when she tries to stop them.
Oh God, that's heartbreaking. I didn't know who to feel more terrible for.
Marie Antoinette: a group of sans-culottes brainwashed Louis Charles into forgetting his parents and accusing Marie Antoinette of having molested him sexually. Sure, Marie Antoinette ruined the accuse and nearly caused the lynching of the man who actually brought the charge before the tribunal, but still...
It may not be as out-and-out tragic as most of the examples here - Rose of Versailles is not exactly short of tragedy - but Girodelle pulling an I Want My Beloved to Be Happy and un-proposing to Oscar always makes me sniffle a tiny bit.
Jeanne's murder of her husband Nicholas and her subsequent suicide. Even worse because Nicholas' murder was an honest accident on Jeanne's part, Nicholas was one of the only things she truly loved.
Rosalie's fitful attempts to make Oscar hate her after Polignac pulls a Scarpia Ultimatum on her to force her to leave Oscar and marry the creepy old man Charlotte was previously betrothed to. Among other things, she pretends she was only ever interested in Oscar's money and status. It doesn't work, as Rosalie's a terribly Bad Liar ... Which makes it even worse.
And after this, Oscar's and Rosalie's tearful farewell and related scenes when Rosalie nevertheless insists she must leave. Especially Rosalie's heartrendingly empty internal monologue as she is shuttled away in the Polignac carriage and resigns herself to her new life.
"Adieu, my youth. Adieu, my happiness. Adieu, my Lady Oscar ... "