I don't call it "depressing" but let's say, ok, the most melancholic song I've listened to is "Lover's Grief" from Empyrium. Both the lyrics and the music are penetrating, the song is like a magical description of, well, "sorrow". Also there are many other Empyrium songs which are very "depressing", like Mourners or Ode To Melancholy or The Ensemble of Silence, or the acoustic songs like "Where at night the wood grouse plays" What I like about Empyrium is that it's not just "oh I am so sorrowful, I am crying..." but they use the language very good and their musical quality is very high, in my opinion.
Also some other depressing songs I like, from Lacrimas Profundere:
"Black Swans", "Without", "Helplessness", "Diotima", "Solicitude, Silence" and just the intro parts of "Enchanted and in silent beauty" and "Perfume of withered roses". These two songs have very beautiful intro parts but I don't like the whole songs very much.