A one-on-one conversation Twilight has with Medic when he first moves in with her shows just how depressed and sad the German doctor really is.
In chapter 13, he mentions that something broke inside him years ago and that his past is horrific, and in chapter 15 the RED Medic said that he "deserves Hell more zan any of ze others". And he almost killed his ex-wife the first time they had sex,and he is afraid that he could ever do something like that to someone else. In chapter 30 is revealed that he killed and torture over a hundred men and women in Auschwitz, told by Mengele they were criminals, the wrost part being that he stared to enjoy it, and now he can not stop.
Dash being blinded.
Rainbow Dash: Well... Well take the rag off my face. I still can't see.
Sniper: Dasher... There's nothing on your face...
Rainbow Dash: N-No... No! I... That's not possible! I can't be blind! Help me! Help me! HELP ME!!
There's something very sad about how resigned Balloonicorn sounds when he's talking to Pyro after she accidentally sets Trixie's hat on fire because she didn't believe in Pyroland.
Balloonicorn: "You know what we really are, right? Just delusions, part of her broken mind. Kind of like you."
Spy's backstory. He agreed to work for the Nazis in exchange for sparing his village and family from being dragged off to the concentration camps. After months of spying for them, he found out that the Nazis had occupied his village, and his mother had been raped repeatedly, dying from her injuries. After killing every Nazi there, he was prepared to kill himself. He found out about Soldier's rampage in Europe, however, and began secretly feeding him information in an attempt to atone. And to make it worse, in chapter 15 is implied that he had an abusive father. In Chapter 20, it's confirmed. To the point where when his mother gave him a knife for a gift on his seventh birthday, he broke her arm and tried to take the knife for whatever purpose he had in mind. He had to hide from him and stab him in the back in order to survive the experience.
Soldier's backstory is shaping up to be this as well, as of Quiet Sins Part 1. In Quiet Sins Part 2 we find out that Soldier/Solomon David Nier was a totally different person before World War 2. A staunch pacifist with a wife and newborn daughters, as well as a younger brother who was living with them on Pearl Harbor. After several fights with his brother, who wanted to enlist, he leaves to run an errand, only for the infamous attack on Pearl Harbor to begin. He tries to get home, but his family was killed when a shot down plane crashes into his house. Broken, he wanted to die at first before seeing a plate with his name on it in the wreckage. Most of the letters had been scratched out, and what Solomon saw drove him completely into war-crazed insanity. The remaining letters spelled out one world: SOLDIER.
The revelation that, despite Fluttershy's best efforts, Discord relapsed into his old, Chaotic ways. During this incident, he apparently nearly killed Fluttershy. Overcome with guilt, he voluntarily surrendered to the Elements of Harmony, and was turned back into stone. Despite still holding a seething hatred for Celestia, he still cares deeply about Fluttershy.
Queen Sombra's magic spell that forced the fusions hit with it to relive the most painful moments of their lives each counts.
Soldier/Solomon's moment is already listed above
Scout's most painful moment puts a Harsher in Hindsight spin on the 'Rainbows make me cry' joke. His home was broken into by a French-Canadian with a knife and a rainbow shirt who was threatening Scout's mother and was planning on raping her right in front of Scout when he came down. He even threatened to kill Scout. Scout ended up taking a baseball bat and beating the man to death after he continued to try and rape his mother. The experience ended up traumatizing him from that day onward. Spy, upon hearing about it, IMMEDIATELY felt horrible about the 'Rainbows make me cry' joke.
Engineer's most painful moment is when his wife took custody of their daughter. Irene turned out to have done it to punish Dell and teach him a lesson about 'ruthlessness'. Dell had been against selling his Sentry design to the military to make money, which offended her Gold Digger sensibilities. Not only that, Irene didn't care about their daughter and was only doing it to spite Dell. Rarity, after they recover, is infuriated by the memory.
Heavy's painful moment comes from the sparrow story from Poker Night at the Inventory, with a very cruel addition. The one who threw the knife told his commander about Heavy burying the sparrow and he immediately got chewed out for it, lectured and beaten for showing compassion to an innocent bystander. He didn't even get any satisfaction after killing him in revenge years later, the man approving of his actions.
Demoman's painful moment involves the loss of his foster parents at 15 years of age. In his attempt to try and kill Nessie, as well as learning more about explosives, he creates a huge bomb, adding in extra gunpowder in it to boost its effectiveness. However, all the power was more than enough to overwhelm the blast shield he created and the resulting shrapnel killed them. All before he knew about his real parents. Puts another Harsher in Hindsight spin on his rant about being a good Demoman.
Rarity losing her leg during the events of Pony vs. Machine.
Mitta's backstory from Story of the Blanks was fleshed out here. When Ruby was marked to die because of her Cutie Mark, she and Mitta tried to run away, but they were caught. Mitta was held back from saving her sister and forced to watch as Ruby burned to death in the fireplace. Celestia found out what happened while visiting Sunnytown and in a rage, she punished the village to live as zombies. Despite her innocence, Mitta was also turned into a zombie, forcing her to spend the rest of her life in her own guilt.