Mei Xing's backstory. The fact that it's so similar to many situations in real life just makes it sadder.
Sun Bear's sacrifice.
The Tian family's living situation.
When Dalang tells Tigress how he knew Koshchei- the leopard took him under his wing and became a mentor to him when he was young. Dalang never knew what Koshchei was until he came across him burying a man alive. After Dalang finishes telling Tigress, he begs her that if he dies before her, to make sure he's really dead before burying him. He doesn't want to end up like the guy in the box
Dalang speaking to Shen in his meditations, where they talk about what could have been. Shen admits the reason he tried to kill Dalang was to save him from what Koschei was turning him into. Later that day, Dalang puts up ancestor tablets for all the rest of his family members and prays for them.
When Lan Duo finds Bao Nu's corpse, he realizes how far Lang has gone under Koshchei's teaching. Furious, he confronts Koshchei at the Thread of Hope and manages to get a few good hits in before Koshchei throws him over the edge.
Tigress' guilt over the casualties from the battle.