I guess that in most cases the contrast is what you see. Like, good gameplay and cliche story. Like, VERY cliche, about good someone beating the hell out of bad someone. But this is not depressing to me, it is simply a disappointment.
I know one game - Undretale - it brought me into 3-day depression, and I finished it with drinking alcohol and eating pills to stop it. And the bad thing is - it was True Pacifist ending which brought me to it.
When you go Genocide - you a pretty much a killing machine, posessed by a demon. Game itself changes into being spooky, like... I dunno, Yume Nikki, with slow music, etc. And the ending don't bring you to depression, since... Well, you asked for it. So expectations = what you get.
Netural route - it depends on your actions too. Heavily depends. And due to the amount of options you get what you asked for. So expectations = what you get, again.
And True Pacifist... You work as hard as you can, you try again and again... And at the end, one of the most colorful and complex characters just... States you can not save him. And even since you get the best possible ending, it still is quite unfinished. It becomes worse when you understand, that that character was innoncent, and his state is the result of one bad person tricking him, and another not too bad person making experiments on him, and basically, he never deserved what he got.