Also even though it turns out Amelia faked her death and was a Kingsman plant, Merlin faking being upset when he shows the Kingsman candidates that they left Amelia behind to drown during the first test, and thus failed before they began by not showing teamwork. This affects Eggsy in subsequent tests; when Roxy confesses that she's scared of heights, he encourages her through the parachute test even though it would mean less competition and they pass together.
Eggsy refusing to shoot his pug J.B. as part of his final test, so that Roxy gets the Kingsman title. Everyone Has Standards, and he's upset even after hearing the shots were blanks.
The death of Harry (and at Valentine's hand, no less) can be quite jarring, especially after the levity displayed during the previous moments of violence. The fact that Eggsy is also watching makes it ten times worse.
Gets worse when you realize that Eggsy and Harry's last conversation was the latter being disappointed with the former, and unable to see the Kingsman Eggsy becomes in the end.
Want to know what makes this scene even sadder? Eggsy loses another father figure in his life.
Eggsy's life in general. He lost his father, his mother remarried an abusive jerk, and even though he had great potential, he let it all go.
There's a small moment, before Harry beats Dean's thugs senseless; as they move towards Harry, Eggsy hangs his head resignedly. It makes the beatdown all the better, but it shows that Eggsy has seen what they're capable of and if this were anyone else, he'd have to watch it again.
When Eggsy for the first time wears the suit that properly fits a Kingsman, he looks so much like his mentor it's scary.
Valentine's genuinely sad reaction to killing Harry.
He also seems sincerely upset when Merlin activates the implants that blow the heads of Valentine's army and the conspiring world leaders, and not just because it messes with his master plan. He claims that Merlin just killed thousands of "innocent" people, and then later urges Gazelle to take Eggsy out because "he killed our friends". Despite essentially forcing these people to join him or be imprisoned, Valentine genuinely felt they were his friends, and losing them was quite upsetting to him. Shades of this emotional attachment also appear earlier in the film, when Professor Arnold is killed.
Even though the church goers were a bunch of homophobic, racist, sexist, and plain bigoted assholes, Harry is completely remorseful over killing many of them. No matter how horrible they were, they were still human beings with loved ones who were forced into murdering their friends and family.
Imagine being under the influence of the Hate Plague and you're just recovering from the influence. Now imagine discovering that you just murdered someone that you loved. Not everyone was as lucky as Eggsy's mom and little sister.
Oh, it is so much worse. Harry's lines after he leaves the church suggest he was fully aware during the Hate Plague. Now apply that understanding to Eggsy's mom and everyone else.
Eggsy's mom has a horrified expression when she comes out of the Hate Plague and starts comforting her daughter. She's apologizing over and over again and saying she would never hurt her baby.
Eggsy's sister screaming with fright as her mom chops her way through the door.
Harry Hart's general reaction of Eggsy's father's Heroic Sacrifice. Even after several years have passed, he could not get over the fact that it was his mistake that Eggsy's father was killed. And he tries his damnest to make up to it by raising Eggsy to be the Kingsman that his father never had a chance to be. In the penultimate test when Merlin informed Eggsy that he's now at the same position his father was when he was alive, Harry can be seen lower his head a little with a saddened expression on his face.
The backstory of the Kingsmen in general is quite heartbreaking: They were a high-end clothing company that got its start around the mid-19th century, making suits for men of power all over the world.....Then the First World War rolled around, and the owners and customers of Kingsman Tailors lost their heirs in the fighting. Without a lineage to pass their wealth onto, and utterly broken by the loss of their children, they reformed into an international intelligence agency dedicated to protecting worldwide peace and making sure nothing like the Great War ever happened again on their watch. It gets worse when you realise they failed.
