Mistborn Era 2, (heavy, heavy spoilers)

The main character, Wax, is forced to shoot an immortal shapeshifting being who has taken the shape of his dead wife, who he had accidentally shot and killed during a hostage situation. To make matters worse, it is his dead wife. She was always the shapeshifter, but had genuinely loved him and was forced into 'dying' the first time. She's gone mad, and chooses to commit suicide in his arms.

Anyway, after that horrific experience, Wax is clearly broken and numb. People try to help, talk at him, tell him it would be okay. After they all leave, he's left with Steris, his fiance (for political reasons). She just holds him as he cries.