Well... those are all good sugestions, but in my particular thoughts, if you want depressing go to the 20th century.
In 20th century music (obviosly not all composers) you find that emotion becomes a complete thing, more like real life, you dont get just sad... you get all kinds of degrees of sad and all kinds of emotions, from lust to violence to biting sarcasm (Because in my case, I get depressed with these kinds of negative emotions...)
heres a short list.
To me, depressing music is music that leaves me feeling weak, sad, horrified, the kind of emotion you get when you watch a really violent ocurrance or you get extremely bad horrible news, at the same time, it makes you realise how human you are, and it makes you relieved to know that you can experience those emotions, and you havent become a machine...
my favorite depressing pieces in that sense:
In case of the sinfonic stuff, get you hands on the piano score:
- Shostakovich 11th symphony second movement. (Its programatic, about the killing of thousands of people in the red square in leningrad) You can hear the soldiers marching, the babies crying, the undying revolutionary song in the lips of those resisting... its horribly gut wrenching...
- Prokofiev 7th sonata second movement (Its a strange one, it sounds happy but it makes you feel uncertain, if you look closely, the melody is a quotation of a Schumman song with the words, I sing as if I were happy, while inside I exhale my last breath.... really sad stuff)
- Poulenc his opera, I dont remember the name with the Carmelites (In the final scene they march one by one to be beheaded, all singing a sweet song with very dreary harmonies and the song is cut off as the last one dies)
- Ligeti musica ricercata (its the 9th piece in the collection, for Bartoks death. Some disturbing bells)
There are countless more examples (Look at Gorecki, and Messians quartet for more examples)
hope that helped....