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We get a glimpse of Raphtalia's past. Her parents were fleeing during the first wave, but they were cornered atop a cliff, and had no choice but to throw their daughter down to the sea so she would have a chance of survival. And then, the poor girl had to see how her parents were mauled to death as she fell down, unable to do anything.
Really, just the image of Raphtalia tearfully begging Naofumi to not to die and leave her alone.
In Episode 4, even if it's just a hallucination, the image of Raphtalia leaving Naofumi is pretty depressing. He even tries to push her away saying that he only saw her as a tool, but it's clear he's lying to himself.
We finally get to see what Raphtalia had to go through after the first wave and before meeting Naofumi. One second she's happily chatting with her friend about love, and the next, the skies turn red and all hell breaks loose.
Raphtalia refuses to scream while being tortured and all the while she keeps a smile in her face to give hope to everyone, especially to her friend Rifana. Then Rifana becomes sick, and they're separated when Raphtalia is sold to the slave trader. As if just to twist the knife further, the knight nonchalantly informs her that Rifana "won't last much longer". This seems the breaking point,as Raphtalia evenforgetshow to smile after this.
The biggest one, when checking on the dungeons, she's happy to find that her friend Keel is still alive, but then she asks about Rifana. By then, all she finds are her skeletal remains, still holding the flag in her hand from the last time they saw each other.
Really, every scene between Rifana and Raphtalia is a massive tearjerker, from her saying that she wants to go home, to her dream of asking the Shield Hero to make her his bride when she meets him.
Malty and Aultcray finally get what is coming to them, but it is not a happy time, not even for the one who suffered the most at their hands. Naofumi has a nightmare about their upcoming execution, not a pleasant cathartic dream but a nightmare. He feels guilt at Malty's coming death but she will definitely cause him more trouble if she lives. A bane on his existence, that is sad.
Even after all the unforgivable acts they have committed, Mirelia still cares about her husband and daughter. She doesn't want to order their execution, but her role as queen demands that she punish them. She was hoping that Naofumi would give her an excuse to spare them, and was planning to risk her own life to convince him to give her this excuse.
When Malty's plan to assassinate Melty is brought to light, everyone is horrified, including Aultcray. Hearing proof that one of his daughters tried to kill the other is enough to distract him from his own trouble and misdeeds. One must also consider the implications of this revelations, the Shield Hero that he hates so much and caused so much trouble for, is the only reason his youngest daughter has lived this long.
The story of Rishia Ivyred joining Naofumi is not a pleasant one. Her family is the noble of a town, yet they essentially lived like farmers compared to the more lavish lords in the series. Disaster after disaster leads to them needing to sell more and more of their stuff to a neighboring bully lord until Rishia is also taken. Rishia falls in love with the "heroic" Itsuki and his ideals, but becomes a pack-mule and is treated at the bottom of the pecking order in their party, both figuratively and literally. No respect is given in any way after she rescues the all three of the knocked-out heroes in the Cal Mira Wave, and is then kicked out her party by a conspiracy just because she isn't a fighter, and also because she essentially saved the day by preventing Naofumi from repeating a very dangerousself-torture Cursed Ability that he once used to obliterate the corrupt Pope Balmus, but at the cost of him nearly dying, instead using Colhol casks to great effect on his enemy. Luckily Naofumi saves her from suicide but by that point she is in well deserved tears.
The death of Ost Hourai to stop Kyo from controlling the Spirit Tortoise and destroying the World. To further Twist the Knife, Kyo manages to escape anyway, forcing her to use the last of her Lifeforce to grant Naofumi and his party access to other worlds and allow him to Pursue.