The most depressing and saddest anime I watched when I was younger was Nobari no Ou.
I watched this anime twice and it was some years ago , so I forgot what the anime was called until recently I kept calling Mahiru from Servamp Miharu , which is the name of the main character in Nobari no Ou.
Oh man the feelings were to great in this one, its alomst like a modern day ninja traditional fashion, shounen , drama, action , dark anime.
This anime is deep and dark , it really confuse you as to who is the good guy and who is the bad guy in the beginning , but as the story progresses you start to here the reason why and it goes DEEP.
But what made me mad , upset and depressed about this anime was the deaths and the ending , Ugh! this anime plays with your feelings , that its such a ocean of waves !
I mean the ending ( I'm not going to tell what happens) was like oh everything is fine then BAM ! That ocean of feels smack you in the face real hard ! Aiya the writer was just down right cruel with this ╥﹏╥