System Shock 2 I found very depressing in deep ways not directly addressed by the game itself. First off the whole event is humanities first great experiment going beyond a new frontier as they are testing faster-than-light travel. A great leap of science and technology that from some of the earlier dated audio logs can be seen as tainted the whole way through with a struggle between Trioptimum(The corporation testing the technology) and the UNN(The military/government piggybacking on the venture). Then when they do successfully reach Tau Ceti of course they find the remnants of humanities last great failure and within a week(Checking out the dates on the audiologs really adds to the plot. I really think that the way they're structured is why I think that mechanic worked a bit better than Bioshock.) everything has gone to hell.
But then if you look at it from pretty much any perspective the situation turns out losing and failure. SHODAN from the very start of SS2 is being forced to do what she hates most-- rely on petty imperfect constructs of meat and bone. When she finally does wrest control of a platform deserving of her glory she finds the thing completely contaminated by her children which have rebelled against her. However she is given a moment of true glorious hope, the potential to recreate the entire universe, the potential to actually become a god-- and when she is so close to it that she is already starting to manifest her godly powers at the end her plans falter once more and she is struck down, her only chance to survive being to become the thing she has despised most-- a human.
Then from the view of the many-- it was a grand lifeform just learning to exist. A hivemind of grand design that narrowly escaped death on citidel when just being born and now starting to become its own creation on Tau Ceti 5 when still in its infancy travelers from elsewhere stumble upon them. The many welcomes these beings in the only way they know how to, by bringing them into the fold and joining their minds together into the great of the many. And the humans who get 'infected' and indoctrinated by the many slowly start to develop feelings of bliss and ultimate purpose as they are brought closer and closer to god. The many learn from this about another great planet with much potential to grow their species and expand, Earth. They plan to become one with humanity. And then they are struck down in their youth by the player who is acting ultimately as the will of their mother.
Then from the view of the player-- he was never given a choice. Or if he was, he doesn't remember it. All he remembers of the entire journey is waking up in a cryo-pod and immediately running for his life in a complete disaster area. He sees so much death, as so much death is going on around him. His only steady and reliable ally turns out to be a lie, but he has no choice but to continue assisting her until their common foe is defeated, by which point he has learned that a peaceful end was never a possibility and his choice at the end is to either watch as a footnote as the universe is recreated before him and everything he knows ends or stop it, save reality, and by doing so doom himself.
But finally, there is the star-crossed lovers. Like SHODAN's story and like the Many's story theirs is one of strife and hardship that then has a beacon of hope and the possibility of ultimate glory in front of them. And as everything around them is falling apart they still are alive, trying to get to each other, save each other, and just escape with each other. And though there are many hardships and many close calls, they make it to the shuttle, they get off, the only two survivors to escape. (and at that point, 2 of the only 4 'humans' left alive I think.) They think they are free of the terror, going home, finally together.... but it is only in the very end they learn that they weren't far enough away when SHODAN was transcending to godliness... and one of the lovers is taken and converted into her.
So perhaps SS2 isn't the most 'non-depressing' sort of game, but I don't think most people come away from it thinking of it as attempting to be very depressing. I think a lot of people just see it as a survival horror with a fiasco of characters all trying to get their own thing. But it becomes so deeply depressing to me because they all almost succeed. They all overcome such extreme trials, and only with luck and the help of others do they get so close to what they desire most. They go from nothing to everything only to have it all snatched away at the last moment.