The life of a group of tightly-knit master thieves is exhilarating, but... nobody ever said it'd be easy.
- Sly's backstory. His parents were brutally murdered by the Fiendish Five, and he was sent to an orphanage. On the day he was finally going to inherit the Thievius Raccoonus. Which itself was ripped apart and taken by his parents' murderers, depriving him of even a memento (since he likely would have been allowed to keep it as it's a family heirloom).
- In all the cutscenes depicting Sly's backstory, he was shown peeking out of a closet he was hiding in right as his father's lifeless hand drops in front of him. He saw at least part of the aforementioned brutal murder. Sure, they may not have known that Sly was in the closet, but still! Sly is remarkably well-adjusted, for witnessing the violent deaths of his parents and the destruction of the one memento he had besides his father's cane when he was only 8 years old.
- So many villains have tragic backstories themselves. Some are outright cruel and evil, but some were either poor in childhood or ridiculed and mocked when young.
- Don Octavio started out as a famous opera singer. But then Rock music came in and no one wanted to listen to opera anymore.
- Mz. Ruby never had any friends growing up, due to her voodoo upbringing scaring other kids away.
- Muggshot started out as a poor pup who was always bullied and picked on. So he kept exercising and eventually got big and strong enough to take revenge on those who picked on him. And now he himself picks on anyone else he thinks is beneath him. He has become what he truly despised.
- What's even more tragic is that this is all too realistic. Many real-life criminals have had terrible childhoods themselves.
- Made even worse by the otherwise hilarious "gentleman callers/I didn't know they was yours" gag from Sly 3, which all but outright states Muggshot's mother was a prostitute. We also see him in his childhood bedroom even as a musclebound adult at the end of his intro in Sly 1, implying he still lives with her. Taking his stated desire for respect and power alongside the fact that he's fiercely protective of his mother, it's quite likely he became the monster that he is because he saw his mother being abused and vowed to become strong enough to keep them both safe and secure.
- The Panda King wanted to impress Chinese nobles with his fireworks display, but they couldn't see past his shabby clothes and chased him away.
- Jean Bison tried to strike it rich during the Gold Rush of 1852, but wound up flash-frozen in an avalanche, waking up 150 years later. All he wants is to tame the wilderness, as men like him did back then, but the problem is his way of thinking is highly outdated.
- The fact that the events of Sly 1 all take place while Sly and company are about 18. Even for a master thief from a long line of master thieves, to have repeated threats and attempts on your life made by the people that killed your father and destroyed your sole family heirloom before you're even able to legally drown your sorrows in the country of your birth has to be pretty traumatizing.
- The ending to "The Predator Awakes". Neyla's turned traitor, Carmelita's been framed, Sly and Murray have been captured by Interpol... and poor Bentley is now fully alone for the first time in ages.
- The ending to "Menace in the North, Eh?" Jean-Bison sells away all the Clockwerk pieces, thus ruining all the hard work the Gang has done getting them. It is pretty heartbreaking to see them so defeated, and Murray even loses his prized van along the way.
- Earlier in this level, at the beginning of the mission "A Friend in Need," Bentley's panic when Murray is captured, along with his expressed fear in losing his friends and being alone all over again, is downright heartbreaking.
- The ending. Bentley goes to grab the Hate Chip that powered Clockwerk, then BAM! He becomes crippled. Murray tries his best to save him, but all Bentley can cry out is, "Pick me up! I can't walk!"
- When Bentley walks into General Tsao's Palace, you hear him refuse to let his betrothed, who is the Panda King's daughter, Jing King, be released from prison just to talk to her father. Just hearing her crying about his cruel treatment is enough to put a tear to your eye.
- The opening cutscene of the "Honor Among Thieves" chapter. Sly, who believes he is going to die by some Dr. M's freaky mutant, mourns the botched Cooper Vault job and the fact he never got to see what's in the vault, thinks about his legacy and finally laments how he never took a chance with Carmelita and thinks that he would want to put their "professional differences" behind if he ever meets her again. Even though things turned out well for him in the end, those were his thoughts when he was certain he was going to die.
- Sly's ancestor Rioichi earned the loyalty of a shark he caught while fishing after he spared it. The shark served faithfully as his mount in war for years. After growing to old to fight and seeing that Rioichi wanted to open a sushi restaurant he asked that Rioichi kill and turn him into sushi so his master could open his restaurant. Rioichi agreed, crying as he turned his friend into his restaurant's first meal.
- Bentley's reaction to Penelope being the Black Knight certainly serves as one. He retreats into his shell for the remainder of the episode, until he finally comes through at the last minute to stop her from crushing Sly, earning himself a Moment of Awesome as well.
- When Bentley finally confronts Penelope, he makes an attempt to reason with her, showing the gang will let this slide if she realizes Le Paradox is only using her, and will "cut her strings" when he's done. She doesn't listen to any of his words, and shows she's well beyond the Moral Event Horizon by attacking Bentley in her Villainous Breakdown, showing that if she can't control him for all the money in the world, she'll kill him and everyone he cares for. Poor Bentley could do nothing but fight back. And then there's the end, where Bentley just walks away from Penelope without a single word, not even a goodbye. It's clear that he now hates her, with the photo he has of her vandalized as proof.
- And spare a thought for Sly in regards to all this. He and Penelope were friends, and he risked his life twice to save her when Tsao and LeFwee captured her. He approved of her relationship with Bentley, and even stated they were "made for each other". And when she vanished, Sly showed great concern for Penelope's safety. Such kindness meant nothing to Penelope, as she's conspiring against him. She never actually liked him, considers him a threat against Bentley's skills, and is planning on erasing his ancestors, all out of spite. Little wonder why Sly disowned Penelope as a friend right after The Reveal, and agreed with Galleth that she had to be killed.
- Also, Murray had bonded with Penelope while in China during the third game. Her RC skills saved both his van and his life, and he aided her during "Operation: Wedding Crasher" when she failed to deactivate a laser barrier. Turned out that Penelope never liked Murray, either, and is plotting to make his van a clown car. Murray was left heartbroken by the betrayal, and this motivates him into grabbing scuba gear and blowing up a drawbridge, both for hurting Bentley and threatening his van.
- The climax of the Arabian level. Ms. Decibel was completely devoted to Le Paradox, and fulfilled the most crucial role in his master plan. But not only did he callously toss her aside when she was beaten by Sly, he cruelly pointed out that he never loved her to begin with. Villain or not, you have to feel at least some sympathy for poor, besotted Ms. Decibel.
- If you've followed the progress of Sly and Carmelita's complicated relationship in the first three games, the events of Thieves in Time are particularly painful to watch: Carmelita, angry at Sly because he faked amnesia at the end of the third game, refuses to hear him out when he tries to explain everything, going so far as to flirt with his ancestors, and remains abrasive to him for much of the game. All we get are subtle implications that she still has feelings for him up till the end. Seeing their relationship take such a huge backward step can be painful, especially for fans of the Sly/Carmelita pairing.
- And even at the very end, just when Carmelita's finally ready to apologize for being so nasty, all we get is a brief scene of reconciliation... and then Sly gets Trapped in the Past, and Carmelita's left with nothing but the photograph of them dating that Sly used to carry around with him. Never has a sequel been needed as badly as it is now.
- The "Where Are They Now?" Epilogue of the Cooper Ancestors as you slowly realize that sooner or later, Clockwerk is going to kill them.
- During a speedrun of the first game at the 2020 Summer Games Done Quick event, Sly's voice actor Kevin Miller was asked what his own thoughts were on Penelope's betrayal in Thieves in Time. After (jokingly) expressing how betrayed he felt personally about it, he followed up with this: