Systems for Sad/Depressing Campaigns

I've been working on a kinda depressing TTRPG concept, a campaign that is based around minimising the damage of unavoidable failures, rather than any sort of traditional success. No idea if it will work, but it is the idea stuck in my head, so here I am.

To that end, I am wondering if there are any systems you have played that have supported a more depressing tone? I'm looking for systems that help develop a feeling of connection and then loss, rather than just relying on the GM to do all the work. Any recommendations or advice is appreciated.