What ends up sending Rainbow Dash to Ponyville is pretty depressing. Rainbow Dash blows up and knocks out the teeth of a young noblemare because she insult Rainbow Dash's parents. Rainbow Dash gets into a fight with Celestia about how Rainbow's accomplishments are overlooked by being Princess Celestia's student. When Princess Celestia breaks out the Royal Canterlot Voice, Rainbow is reduced to crying, about how she is always in Celestia's shadow, and decides to fly away.
What's more? It is implied that Princess Luna said those exact words to Princess Celestia, before becoming Nightmare Moon. It must have saddening for Princess Celestia to remember that event, and how it seemed that same things was playing again before her eyes.
The sheer torment that Rainbow Dash goes through in the story is staggering: She has to watch as Princess Celestia vanished before her eyes, her two best friends brainwashed by Nightmare Moon, her pride has been shattered by Nightmare Moon forcing her to beg before Ponyville, the Brainwashed and Crazy Shining Armor, her crush since she was a filly, break her heart, and finally, was forced into a situation by Nightmare Moon where she could only save some of her friends from falling to their death. It becomes satisfying when Rainbow Dash does the Sonic Rainboom and saves the day.
Dinky and Twilight watching as Nightmare Moon attacks their respective mother and brother, and than Brainwashes them into being loyal minions, then takes them away is pretty heart-wrenching. It is harder for Twilight since she only started to make friends, and her only friend for a long time has just been taken away.
Rainbow Dash realizing that Princess Celestia did use her to defeat Nightmare Moon is saddening, since she has just proven her loyalty knows no bounds, only to find out that Celestia doubted that loyalty, and for that reason withheld information, and prevented her from becoming a Wonderbolt. It gets worse when Rainbow Dash tells Celestia she is not even angry at that, but more so because her friends were nearly killed by Nightmare Moon.