1. Richard Thompson - The End Of The Rainbow
2. David Bowie - Sweet Thing/Candidate/Sweet Thing

I Just Wasn't Made For These Times - The Beach Boys
Cut Flowers - The Smithereens
Ends Of The Earth - Paul Weller
I'm Not Gonna Miss You - Glen Campbell

Depressing how? Like the song is so bad its depressing? Or the subject matter is depressing? Or the music makes you emotional?

specifically your #2 was my original idea; substitute "lyrics" for "subject matter". #3 also. Not #1. But since this is Ice, have at it!

Well in that case, Living Colour's "Flying" is pretty horrifying and depressing when you realize it's about people in the World Trade Center on 9/11 that jumped out of the windows. Beautiful song though.

As for option #3, I guess there's some instrumentals by Jeff Beck and Gary Moore that would fit the bill. I'd have to go back and refresh my memory.

"It Makes No Difference" - The Band.

"Song to the Siren" - Tim Buckley (especially his version on The Monkees TV show)

The last 4 songs of Lou Reed's Berlin.

Untitled - The Cure (from Disintegration).
Something I Can Never Have - Nine Inch Nails

Great choices. They seem to bookend life. Brian's at the beginning of his life (and being lost in it). Glen's at the end of his.
Both poignant to be sure.....

Memphis - Chuck Berry

The bouncy tune hides a sad tale of broken marriage and the child caught in the middle. Possibly the first rock and roll song to deal with such a grown-up subject.

"Darklands"--Jesus & Mary Chain

I'm going to the darklands
To talk in rhyme
With my chaotic soul
As sure as life means nothing
And all things end in nothing
And heaven I think
Is too close to hell
I want to move I want to go
I want to go
Oh something won't let me
Go to the place
Where the darklands are.

And I awake from dreams
To a scary world of screams....

i have a couple, but for different reasons.

wasted time - eagles

ohio - CSNY

Another mope-rock favorite from the 80s: "Sinking" by The Cure.

I am slowing down
As the years go by
I am sinking
So I trick myself
Like everybody else
The secrets I hide
Twist me inside
They make me weaker

So I trick myself
Like everybody else
I crouch in fear and wait
I'll never feel again

If only I could remember
Anything at all....

The opening verse of "Sorrow" by Pink Floyd is pretty bleak & depressing:

The sweet smell of a great sorrow lies over the land
Plumes of smoke rise and merge into the leaden sky
A man lies and dreams of green fields and rivers
But awakes to a morning with no reason for waking

I always want to slash my wrists when I hear "All By Myself".

"I'm Not In Love" is a close second.

"Mother" by John Lennon is always very difficult for me to listen to.

"No Other Baby" by Paul McCartney

"It Makes No Difference" - The Band

My Mummy's Dead — John Lennon
It Hurts Me Too — Karen Dalton version
D.O.A. — Bloodrock
What Am I Living For — Mark-Almond

Jacob's Dream - Alison Krauss

We'll Meet Again- Vera Lynn

No matter how many times I hear this one, it always brings me to tears.

The Killing Of Georgie (Parts 1 & 2)- Rod Stewart

Johnny Cash's cover of "Hurt".

When I was a kid, Bobby Goldsboro's Honey always made me sad. Yes, it's corny. But it still kind of bums me out when I hear it.

Not John - London Wainwright III (about John Lennon's murder)
Three Stars - Eddie Cochran (about Buddy Holly, Ritchie Valens and the Big Bopper)

I know what you mean. When I was growing up my mother's record collection included "Honey" by Bobby Goldsboro, "Is That All There Is" by Peggy Lee, "You Gave Me A Mountain" by Frankie Lane, "Alone Again Naturally" by Gilbert O'Sullivan and probably a few others I've thankfully forgotten. My mom was basically a sweet, cheerful lady ... but, man, she must have had a dark side.