What about The Grapes of Wrath? Depressing ending. The Jungle? Depressing ending.
Of Mice and Men also has a depressing ending.
While The Jungle is very depressing and brutal, the end of the book is supposed to end it on a "better" note, with the main character joining a socialist political movement. (Upton Sinclair was a devout socialist and basically used the end of the book to plug his political views.)
The ENTIRE book was plugging his political views. He was quite upset that people focused more on the stories about factory conditions than his political message.
He's quoted as saying something like, "I aimed for their hearts but hit their stomachs". That said, IMHO, I'm happy with the misinterpretation (though I'd wish the real interpretation would have caught on as well)....I don't want to eat
Oscar Mayer Rat Poo & Factory Worker-Dog on a bun!
I think, if you're going to write a book that's going to be about socialism, don't talk about the gross-out meat-packing conditions in graphic detail. Imply it quickly with "Conditions were dirty & dangerous" then move on to the human drama. Set it in car factory or anything that doesn't involve foodstuffs.
That said, I'd prefer my hot dogs non-
Donner Party certified and loaded with eColi, thank you very much!