Games

I'm reluctant to suggest What Remains of Edith Finch.

It will shred you.

Limbo

How about The Long Dark? A struggle to survive in a cold, dead world. The atmosphere is superb and I think it pairs well with a melancholy mood. Sorry to hear you're dealing with crap.

It doesn't have much of a pre-defined story to it, but I would say Project Zomboid is pretty moody and has a lot of gameplay depth.

I've heard Spiritfarer is quite emotional.

Dying Light

Hardspace Shipbreaker (Solid story, Hating on a Doloris Umbridge type character)

Dredge

Sunless Sea is moody, gloomy, weird and beautiful. Music is hauntingly disturbing and nostalgic at the same time. It’s a weird mix of roguelike, trading&combat sim that’s heavy on choose your own adventure narratives while exploring lots of unique locations.

Last of us is an obvious answer I think if you haven't played either of those games. The exact opposite of your request, when I am feeling as you describe I really recommend wandersong. The game is like therapy, it looks campy and stupid at first but the dialogue has incredible depth and uplifting vibes.

Hollow Knight (more so than Silksong tbh)

Night in the Woods (not the same vibe as the games you mentioned but absolutely a “had a bad day” vibe)

Have you played Control? It was on sale recently on Steam

Thomas Was Alone

It's not at all like the examples you give but it is such a good game that I think fits nicely here.

Maybe the little nightmares games?

Blasphemous (only the first one), This War of Mine, Valiant Hearts, Papers Please, Pathologic

Edit: Strange Horticulture, Arctic Eggs, and Lies of P

For both rich atmosphere and unique game mechanics, you could do a lot worse than Return of the Obra Dinn.

If you're unfamiliar, the presentation evokes early PC (or Mac, more specifically) black and white "1 bit" games, but real time 3d. This already is very distinctive, but the gameplay also sets it apart.

You are an insurance investigator with a magic pocket watch which allows you to travel back to the moment in time that someone expired, if you find their corpse. From these brief flashes (and by cross-referencing the ship manifest) you piece together what happened to all the crew and passengers on the ships ill-fated voyage, before it's baffling reemergence years after the fact.

Outer Wilds. Best game ever made. Stick with it.

Gemini Rue is a great point'n'click with a wonderfully somber and dark atmosphere, and a tremendously good story.

I'd also recommend Night in the Woods, and Sally Face.

The first two Thief games are also very dark (literally), and are some of the finest stealth games ever made, with good stories to boot.

STALKER, it's story may not wreck you but the monolith will.

If you want to be kicked in the dick play the anomaly mod, pretty sure it's free and doesn't require the games.

If you liked Observer, I'll recommend Soma. I just had to sit back and think for a couple hours after I finished it

Clair Obscur: Expedition 33 is not always gloomy. The world is actually quite beautiful in most places. But it's start to tears time is about 30 minutes.

Time to subsequent tears depends on your playstyle.

If you just wanna take a spooky road trip try out Pacific Drive!