DDJRPGS

I felt FF6 was pretty dark throughout. Genocide is main villain commits genocide constantly, cast members attempt suicide, and the game goes full apocalypse in the third act

not really though

FFX-2 was pretty dark, once you got past the first 30 minutes. And that other section.

I nominate Dark Half. You switch between the antagonist and protagonist.

FFTA and FFTA2 are for children, but FFT is very grounded and dark than the other final fantasies out there. It's about class warfare and corruption.

When you look past that aspect of the game, it's pretty grim and serious.

...

If you're not very good at any of the FE games, they can be quite depressing. That is kind of reaching, however, so maybe something like Dark Souls is better for you.
Why do you want a depressing game, anyway? Do you enjoy feeling like shit or are you a fetishist?

They don't really make ME feel like shit. I find such stories enjoyable.

...

In 2 all of your allies die. Every time someone leaves your party it's because death. The emperor succeeds at taking over Hell. in the PSP version, your dead allies team up to fight their way out of Hell in the epilogue
6's second half is fucking grim
13-2 (yes really) has you fighting to make a good future when the death of humanity is guaranteed within 700 years. you fail