The backstory to International Rescue's founding is rather tragic. Jeff Tracy loses his wife and father to an avalanche which he could not save them from added up with an air disaster that killed eighty people due to inadequate rescue equipment.
Other backstories include the likelihood of his wife dying in childbirth.
Brains lost his parents in a thunderstorm.
While it is also pretty awesome, Thunderbird 2 catching fire and crash-landing after being brought down by those missiles from the USN Sentinel in "Terror in New York City" is quite heartbreaking to watch, along with the serious aftermath of the machine being out of action for weeks. We all know what happens eventually, but seeing such a thing happen to perhaps the most popular of all the Thunderbird craft really does tug at the heartstrings.
Scott, Virgil and Alan mistakenly believing that they have failed in carrying out their rescue successfully in "Edge of Impact".
"The Impostors" really dives deep into this territory when it shifts focus to the Tracys. You just cannot help but feel sorry for them all when you hear Lambert denounce them as crooks and frame them for a criminal activity that they had no part of whatsoever.
It gets worse later on, when an astronaut drifts off into space and the Tracys know that making a move risks blowing their cover. Even if things turn out alright in the end, it's really upsetting to see the usually confident Tracy brothers at such a crushing low, not helped by the way the marionettes are positioned, they look so depressed.
The death of David Mitton, one of the special effects technicians from a heart attack in 2008.
The death of Gerry Anderson, the creator of the series in December 2012 from Alzheimer's.
The death of Sylvia Anderson, Lady Penelope's voice actress and co-producer of the show in March 2016.