Grogar Wars. Thousands, if not millions, died during Grogar's destruction of Equestria. To make things more depressing, the war ended with Luna's self sacrifice in the Final Battle against Grogar in Canterlot.
When the first mother Flutterpony believed that her first-born has been ordered for slaughter by none other than Princess Celestia herself (although we the readers know that 'Celestia' was an impostor).
Theseexcerpts are enough to make you feel depressed over seeing Equestria as we knew it dying.
The Snowponies, who are descendants to the Crystal Ponies, are still very bitter towards Cadence for leaving them when the Crystal Empire was destroyed by Lavan. Cadence tried to make amends to them after hundreds of years since the Empire's destruction. They didn't accept it and warned her she's not welcome to talk to them anymore.
Want to know why Cadence left them without looking back? Her husband was mortally wounded.
Cadence's communication with Shining Armour's spirit in The Magnificent Six.
In The drum that stopped beating in My Little Short Stories, Twilight Shine talks about her late son and why the sounds of drums depresses her a lot.
In the end of the second interlude of Moondancer's Misguided Mission, when Pipsqueak was looking forward of going back to Equestria after being shipwrecked on a mysterious island just after the ship crew got out of the maelstrom safely, he turned to dust.