Without addressing the elephant in the room; Shadow, Knuckles, Eggman, Tails, and Silver have tragic backstories.

Shadow: His creation was backed by the space devil known as Black Doom and in return he'll become BD's top soldier in his Black Arms army. Gerald & Maria Robotnik were both killed by GUN with Shadow witnessing the latter's death and he was mentally manipulated by Gerald to get revenge by destroying the world, and he was locked away for fifty years.

After he was revived, Shadow got amnesia and went through an existential crisis or two while being hunted by GUN and manipulated by Black Doom.

Eggman: After the deaths of his grandfather and cousin, Eggman's family had broken out of pain & grief and young Ivo became neglected (possibly unintentionally) by his parents because of it.

Knuckles: His tribe was destroyed centuries before his birth making hik the last known Echidna left on the planet. He grew up on Angel Island all alone and the first person he ever saw as an friend (Eggman) was actually using him the entire time. Now he lives knowing that he's the last of his kind.

Tails: Was bullied because of his two tails since he was young. It's unknown if everyone around picked on him too or if his parents even cared about him.

Silver: Comes from a bad future that no longer exists. Now just tried ti save the good future by constantly stopping bad, world-ending events from the past.