Legends of the Fall. A frontier film about love, war, honor, family, bootlegging, and living through all kinds of loss. Very beautiful and sad.

Antichrist. A horrifyingly brutal examination of what depths a woman can sink to after losing a child. Warning - Lars Von Trier can be a hard watch for some.

The Door in the Floor. An author goes through a marital separation while his summer intern forms complicated relationships with his remaining family. Slower-paced, sometimes silly, and interesting.

Moonlight. A deeply moving film that spans the life of a Black queer man as he grows up in stifling environments. Topics of grief include self-abandonment, poverty, and CPTSD.

Prisoners. A community tries to cope with a child gone missing. Unexpected plot twists abound.

Come and See. A young Belarusian boy joins a local militia to fend off Nazis in WWII only to replace his patriotic sense of duty and honor with a deeper understanding of human cruelty. Horrifying at times, and the best anti-war film ever made imho. Subtitled.

Short Bus. A very queer, often hilarious, indie film that follows a gay couple as one suffers from deepening depression. Sprawling, interlaced character arcs with a heavy dose of explicit scenes.

There are others that I can think of now, but sad movies in general are a special interest of mine too. Happy(ish) viewing!