Is there anything wrong with tragedy?
Oxford says:
...dealing with tragic events and having an unhappy ending, especially one concerning the downfall of the main character.
What you describe is pretty much the definition thereof.
You can also say the story ended on a down-beat.
Personally, I can enjoy a good tragedy, but all too often what I see is just a damn shame.
But if you can learn from it, it can be a cautionary tale.