Several throughout the series, though special mention must be given to Lem's death at the end of the fifth season.
In the series finale, Vic's utter despair upon realizing that he will never see his family again after they got put into witness protection and the bombshell that his new job at ICE will have him essentially chained to a desk for three years.
Shane's murder/suicide of his wife and son and his letter to Vic claiming he wished he had never met him.
The Wrestling Stable
While Seth betraying Dean and Roman isn't particularly sad, Dean's reaction definitely qualifies it as such.
What really sells it is the guy in the crowd's Big "NO!".
October 22, 2018. Unarguably the worst night in the entire history of the stable, above even Seth's betrayal on June 2, 2014:
The night begins with Roman forced to vacate the Universal Championship... because his leukemia returned. After he was done, he set down the title in the middle of the ring and met up with Dean and Seth at the top of the ramp, where they shared one last long hug and fist bump together. Seth was straight up bawling, while Dean had a Thousand-Yard Stare on his face, like he couldn't believe this was happening.
Now, fast forward to the end of RAW. Dean and Seth have sworn to win the Tag Titles in Roman's name, and after a hard-fought match, they succeed. They're in the middle of a celebration. And then Dean finally snaps. On the one night they needed to stand together, the one night they needed each other, all that pent up emotion that had been building inside Dean ever since his return, and perhaps even before that, finally reaches its boiling point, and he breaks. He attacks Seth, beating him savagely and shouting at him incoherently, while everyone, from the audience to the commentators, watch on in shocked horror. And the worst part? The worst part is that Seth didn't even try to fight back. Instead, he told Dean that it was "okay", that he understood, and tried to bring his brother back to his senses, only to become more and more disheartened as the beating continued. At the end of it all, Dean rips off his Shield vest and leaves, while Seth lies in a broken heap in tears, realizing that he's lost both his brothers again, and this time, he might very well never get them back.
The fact that the original Shield may never reunite on WWE TV again with Ambrose now Jon Moxley gone to AEW.