Edit: PostScript, I found a good article.
https://www.flickeringmyth.com/2020/01/its-chinatown-jake-the-joys-of-the-unhappy-ending/
No Country for Old Men
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.
Memento. From one perspective it’s a happy ending, but …
The Mist.
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.
Dr. Strangelove has one of the all-time most-iconic nihilistic movie endings.
There’s no fighting here, this is the War Room!
I think Seven falls in that category.
A Scanner Darkly has an unhappy ending that I don’t want to spoil because it is kind of fucked up.
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.
A Simple Plan
I thought I’d add “Oldboy” in case someone else is using this as a reference. Fits the bill I think.
The Pledge
Read the book in school. One of the few times I really liked a school book.
Vanishing Point
The 2015 movie Remember. Here’s the description from IMDb
With the aid of a fellow Auschwitz survivor and a hand-written letter, an elderly man with dementia goes in search of the person he believes to be responsible for the death of his family in the death camp to kill him himself.
I recommend against reading anything else about it if you think you might watch it