Halo Reach is depressing. You are doomed in that game and it becomes more apparent as you get towards the end.
I definitely agree. Although it does lead to a very memorable final mission, as grim as it is reflecting on the game's events up to that point.
I seem to remember Tales of Symphonia being pretty dark and depressing.
I dunno if Xenoblade: Chronicles gets depressing, per se but it sure does get dark in its final chapters.
Agreed on both counts here as well, especially with the former. Strangely, with the latter, I actually found myself more hopeless in the game's early stages than later on for whatever reason. I think the conflict at that point in the narrative resonated with me more when I played it (not taking away from the later narrative in the big picture, however).
If I were to add anything else,
L.A. Noire would be an easy pick for depressing, especially throughout the entirety of the Arson desk. Another I'll include is
Apollo Justice: Ace Attorney, mostly due to the dark and bleak atmposhere surrounding the primary narrative. Its final case in particular harbors a few depressing moments that amplify the game's overall vibe.