Might not be particularly mainstream, but other than the ones listed and others have mentioned, two particular films come to my mind, both of which deal with survival after your country has been utterly destroyed.
Germany Year Zero (Roberto Rossellini)
and
Pigs and Battleships (Japanese, by Imamura)
I like these particularly because they make one look at themes overlooked by the US’s post-WWII narrative, which always preferred to go directly from the exciting high drama of war and good/bad guys to the successes of postwar rebuilding a couple of decades later, ignoring the utter bleakness of the more immediate postwar years.
I went to a Catholic high school, in 1980 one of our religion classes was The Mystery Of Death, for some unknown reason we had a field trip to see Ordinary People.
I still can’t watch that movie.
Life Is Beutiful is a very good movie but I also can’t watch it to the end.
I don’t know if made for TV counts but there’s a scene in Escape From Sobibor that has to be the most depressing awful scene ever in a Holocaust movie.
The Grapes Of Wrath is pretty depressing but I get sucked in every time it’s on.
I’d put Pink Floyd: The Wall on this list (for some reason I was thinking about that earlier today). That very last shot is hopeful, but doesn’t counter the rest of the film.
And as good a job as the cast did, I don’t guess I’ll ever need to watch Who’s Afraid of Virginia Woolf again.
His Rome: Open City is another film with a hopeful final shot but I’d have a hard time recommending it for movie nite. Probably same goes for Paisan (re: movie nite, not its final shot ). Though I’d also posit that both are must-see films, anyway.
I only ever saw the end of it, but didn’t they use The Champ in some psychological study?
I really disliked Requiem for a Dream, but not because it was depressing (it definitely was), but I walked away feeling I’d been manipulated in a cheap and exploitative way.
I contrast that to Grave of the Fireflies (thanks @BakaNeko) and Once were Warriors, both of which left me feeling shattered, but shattered with purpose (if that makes sense). I never want to see either film again, but I’m so glad I did see them.
Life of Pi was one where i had no idea about the source material, thought the movie was a fantastical fun journey on the open sea. The end of the movie comes crashing at you in a really sobering way, i wouldn’t say it was one of the saddest movies i’ve seen but i was not prepared for the ending.
And i just thought of Lord of the Flies. Saw the movie first way too young, and then later in my early 20s i read the book. Also not necessarily the most depressing movie/story but it is kind of intense and haunting by the time you’re done and processing everything.
(The only uplifting thing in the blu-ray package was the bonus section showing archival footage of French resistance and armed citizens nailing Nazis… and the existence of Blacks in the resistance, with one shown (along with a fellow fighter) securely “shepherding” a German officer out of a Paris stronghold. Fuckin’ eh!)
). Though I’d also posit that both are must-see films, anyway.
and on that vein… Bambi 
and made. 
