Hollow Knight is mostly a downer

I Have No Mouth and I Must Scream. I think it's overrated and overly preachy, but it does have a very grotty and hopeless feel to it.

You're probably right, however I liked so much its dimmed atmosphere and enjoyed every single moment spent in the game.

Regarding OP's question — for me Limbo was extremely depressing and upsetting. To the level I hated to play and dropped the game in the middle of the story. Stay strong! I hope tomorrow will bring you a change for better!

Condemned: Criminal Origins

S.T.A.L.K.E.R.

Forklift Simulator, or any simulator for that matter.

Soma? nah that game is so good , not depressing at all

What Remains of Edith Finch is pretty depressing. I mean, you take on roles of children that die in it, one of them an infant and the other a young girl who can't distinguish that the pain she's in is her impending demise.

Amnesia: A Machine for Pigs is up there. Many crap on it, not unjustifiable perhaps, but it really has no light moments in it.

The Void is also 50/50 on depressing atmosphere overall. Touches on suicide and the notions of rebirth, etc. A lot of imagery that's far from flowers in a field serene as well.

Majora's Mask. It takes some abstraction, but if you really read too much into the themes...

darkest dungeon
this is so bad game , you will be depressed when your army dies to random rolls

Dark Souls prepare to die edition - A manticore.... Really?

God of Wars - any silly puzzle

Broken Sword, it is fun right up until the first puzzle with the lock.... press hint a couple of times and you get the answer, if you don't understand it i won't show it to you, the puzzle is now finished.. utterly depressing

Dark Siders 2, a fun game right up untill the point you are being chased by thie huge soccer ball wich needs a couple of tricks to get it back in place expecting superhuman controller handling...

Total War Warhammer Mortal Empires....... waves of troops spilling forth out of hell just as long until you find what is truly happening or until the whole world succumbs, after which the strongest who survives thinks he's emperor of the whole world, bonus points if you try to play it sane

Gothic Battlefleet is like that too... emerging choices they call that... ramping up the difficulty level expecting you to make difficult choices .... and you are already down

" God has left us "

Richard and Alice - in every regard (meaning not in a good way). ;P

Alan Wake

It's about the battle between light and dark and the dark literally controls other people and even objects.

Limbo
Inside

I haven't played it, but I think that Defcon must suit your question.