The Border Trilogy (1992, 1994, 1998), Cormac McCarthy
The Border Trilogy is actually three novels: All The Pretty Horses, The Crossing, and Cities of the Plain, but, as the name of the series implies, the three novels do form one, quite epic account of the life of a group of a dying breed of cowboys set in Mexico and the American Southwest. The Border Trilogy isn’t so much depressing as it is terribly emotional and realistic, but for that it’s engrossing, beautiful and completely worth the depressed reader’s time. I don’t want to give any specifics about this trilogy because I really wouldn’t want to ruin what in my opinion is one of the best pieces of work by any author, ever, for anyone. But I will say that if you’re a certain type of person, you’ll end up literally losing sleep over McCarthy’s characters and their lives.