Bl:
Taming the Tiger(the main story has a depressing end)
Mania
Hellen
Under the green light
Dawn of the dragon(not depressing but rather sad)
Goblin cave(depressing what he has to go through)
Aesthetics of Unpleasantness (why he has to "hide" his true self)
Thirst(how mutch it hurt ethan to find out tristans "true" self)
try the list "BL from Hell". I personally suggest "Hogu Hagyeongsu" everyone seme, uke, 2nd ML, sister, butler, dog - literally every character needs therapy. Painter of the Night [Historical BL], BJ Alex [modern BL], Taming the Tiger [historical BL], Her Dirty Thirty Scandal [Modern Josei], Lost & Found [modern Josei], The Blood of Madame Giselle [fantasy josei], a Sip of Poison [historical josei], Gwang-an [historical josei]. You can also use the "search function" & tick the boxes for "smut, psychological, tragedy" & you'll get a boatload. These are all full-colour recommendations, but I can try to remember my old-school ones of you prefer.
Someone said Mania ^^. Love it. Okay. more Old school manga: https://www.mangago.zone/read-manga/ze/ Ze [BL], Koizora [straight, there's a live-action movie too, sad], Basically anything by the author Harada - [though Harada isn't just depressing, it's usually quite dark & twisted, mostly BL] like Sumomo or Yajirushi, or Color Recipe or Yoro to Asa no Uta dj - Aru Otoko No Higeki or Nii-chan (harada), Okane Ga Nai [BL, it has an anime too], Trap (Ootsuki Miu) [BL], Bi no Isu & Kobi No Kyoujin (prequel/sequel) [yakuza BL], J no Subete [BL, so messed up], XY by Tohjoh Asami [BL], Incest (NEKOTSUKI Izumi) [BL], Caste Heaven [BL, twisted but good], Ibitsu no Kakera, Ienai Itami o Daite Iru [one shot BL]. Devil's Bride (kim Sae Young) [I think this is straight]. MODS by Natsume Kazuki [BL], Enka - Zetsurin Ou to Yokubou Ouji [straight, historical], Double Mints, Kuzu no Honkai [ straight. just watch the anime if you want to feel shit about yourself & humanity], Nibiiro no Hana Gou, Venus ni Seppun [non-con, amputation, messed up BL], Fragmented [straight], The Girl Next Door [straight] , 1305 [BL], Warehouse [BL], Sachiiro no one room [I recently saw it it has a live-action series], Hana Wa Knife O Mi Ni Matou [shoujo, twisted but good],
10 Count
Twittering Birds Never Fly [BL, one of my personal favourites, it recently got the intro made into an anime movie, other parts still releasing].
Oh yeah KIlling Stalking [though more of a psychological thriller than a BL]
This seems like a lot, but old school stuff often has fewer chapters.
Manga with fanservice/smut/a lot of sex scenes
that are depressing in some way
Something like Boy's Abyss, Metamorphosis, A girl on the shore