The main characters back story is just plain depressing. Actually, the back story of several of the characters are sad. Although the show isn't really dark and adds plenty of comedy, it's still quite depressing. 

The stories told in this series involve characters who have depression, anxiety, social phobia, and plenty of other problems. Watching the characters descent into insanity and lose faith in the world certainly tugs at the heart strings. 

Uhhh, a bunch of sad deaths...need I say more?

It may not be all that depressing as a whole, but the fates of the many children involved is what I think qualifies it. 

This half isn't as depressing as the second half, but it leads up to it so it counts.

This anime portrays some of the worst parts of society and human cruelty. Between rape, child serial killers, people dying, and others getting revenge, it gets pretty depressing. 

Personally, the one scene which I refuse to talk about is enough to make this anime depressing. The stories of several female characters certainly don't make it a happy story either. 

I prefer this version compared to the Brotherhood one. My main reasons is the emotions feel much stronger in this one, especially at the beginning. The beginning of Brotherhood, not so heartbreaking. The beginning of the first anime, depressing! However, that's why I like it. Of course, the beginning is only the beginning of the sad moments (haha....bad joke, I know). 

Many of the characters have mental issues, some of which are a result of an experiment on them as children that didn't go as planned. Many characters have some sad skeletons in their closet too. Now they have been brought together and forced to share each others pain, litterally!!! The animation is bright and on the outside it doesn't look very sad or serious, but as the story unfolds and the characters learn more about each other, the mood darkens.

I find romance series to often be sad (and infuriating). In this case, it's a girl who is avoided, bullied, and feared because she looks like the character from The Ring (a horror movie). The popular guy in class takes a liking to her along with a few girls in class who ultimately try to help her out. However, they don't always know what they should do and good intentions don't always work out. The guy is popular so he doesn't always get what she is going through and often makes mistakes. 

It's dark. The story, the characters pasts, the events that unfold, the reason why everything ended up the way it did, and the realisticness of some of the characters personalities and how the events unfold is dark.

The main characters personality is what makes this one sad.