Out of the Zelda games I've played, Majora's Mask would have to be the saddest and most depressing. It has a very dark theme to it, which is one of the many things I like about it. Even the music is very dark, gloomy, and depressing.
i would say TP had a much more darker theme to it than MM. TP was all about a race that was banished and they are a very dark (not exactly evil) race. that entire game was shrouded in darkness. i cant remember a single scene where there was a beautiful, sunshiny day. the monsters were much scarier looking than monsters in other games. there was that one town that was basically destroyed and that was kind of sad. and at the end, after Link and Midna become friends (sorta), they have to say goodbye and they both know they will never see each other ever again.
in my opinion the darkest/saddest game is TP.