This is one of my most-dramatic opinion changes in movies. After loving the movie so much, I initially hated the ending. I felt like it was a bullshit cop-out. The more I reflected on it, the more I approached, "Holy shit, I actually think I love it." Now I tear up every time.
Requiem for a Dream (2000), although the ending doesn't exactly come as a surprise.
Grave of the Fireflies (1988), an anime by Studio Ghibli. It begins with the end and since I had kids I cannot watch it anymore.
The Road (2009). I've only read the book and cannot bring myself to watch a movie based on that.
Hamlet (1996) and Titus (1999), both based on plays by Shakespeare, don't end well for anyone.
Nightcrawler (2014) was surprisingly good and Jake Gyllenhaal is very good at being sinister.
Synecdoche, New York (2008) is one of my favorite Kaufman movies with the great Philip Seymour Hoffman.
The White Ribbon (2009) is one of my favorite movies of all time. It depicts life in a small German village just before World War I with a focus on the children.
The Seventh Continent (1989) is from the same director as The White Ribbon, Michael Haneke.
Dancer in the Dark (2000) from Lars von Trier with a great performance by Björk. It really is a lot better than you might think.
Edit: Come and See (1985) is a movie that greatly affected me that should not be missing from this list.
I've also heard good things about Gaspar Noe, but I haven't yet seen anything from him.
Fallen (1998), great movie. Denzel Washington plays a detective hunting a serial killer copy cat but that's just the start. Amazing cast, supernatural storyline, great plot.
Not movies, but Rifters series, Blindsight and Echopraxia by Peter Watts; and Killing Star by Zebrowski and Pellegrino. These will never become movies or TV, they're just too nihilistic and have some extremely heavy themes. Watts especially does not shy away from describing and closely analyzing the psyche of some truly horrible characters in Rifters series.
The Rifters trilogy and Blindsight are also free to download on the authors website. Easily worth taking a look for anyone who enjoys dark themes in their scifi.
Somewhere I have a notebook with scene-by-scene notes on Mulholland Drive. Time loops, alternate universes, fever dream sequences that may be real, throwbacks, lookalikes, detours into madness and fear, all that. Multiple viewings. Full Deep River Ontario shit. (We actually IRL visited that creepy diner in CA. That experience is not recommended. The breakfast is OK. The turkey sandwich is 1000 times not OK.)
For me, every theory regarding the "WTF is happening" aspect falls apart when the old couple from the taxi come creeping out of the blue metallic lock box. Like, everything sort of hangs together with some fuzzy dream logic for me, but then falls apart in the true gossamer of dream fashion. There's sometimes a buggy, I guess.
It might not be exactly what you're looking for, and it's no where as good a movie as Chinatown, but "Beneath the Planet of the Apes" (https://www.imdb.com/title/tt0065462) definitely ends on a very "down" note. I saw it for the first time a few weeks ago and was kind of blown away by the ending.