Forgetting about depressing songs from the 50s, 60s and 70s, and there are lots of those, how about what I consider the top 3 depressing songs that AC stations currently play:
"Angel" by Sarah MacLachlan (worse)
"Because of You" by Kelly Clarkson (worser)
"My Immortal" by Evanescence (worstest!)
More often than not I've liked Ms. MacLachlan, but if any station wants to bring afternoon drive momentum to a screeching halt, that's a song to do it with. The Kelly Clarkson song is a two-fer, not only depressing but irritating. If you don't believe me, try standing in a busy checkout line at WalMart with that screeching in the background and you'll see what I mean. The Evanescence song is just dreadful on any scale.
I'm tempted to include the Titanic song from Celine Dion, but while it is depressing, it's not such a bad song and works within the context of the movie. Someone mentioned "Wildfire." That's a sad song for sure but not really depressing. The album version is quite pretty. "Cats in the Cradle" is an astute observation on parent-child relationships that has been rendered meaningless by overexposure.
"You Light Up My Life" always gets a bad rap, and for good reason, songwriting by the numbers as it is, but it isn't really depressing. In fact, as I recall it was supposed to be somewhat uplifting. I would verify that by listening to it but I haven't heard that song in 30 years and I don't want to break my streak.