|A cruel god reigns is a very depressing manga about homosexuality and sexual abuse.
All the characters in Suicide island have tried to kill themselves before and theres varying degrees of attitudes and depression, including one instance of gender identity crisis.
Thomas no shinzou deals with homosexuality in a boys boarding school
Snow drop and Love in the mask have quite a heavy atmosphere in places due to restrictions imposed on their lives and being unable to seek out the people they love because of the restrictions.
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Also because the main character in love in the mask has to live as a boy when she's really a girl otherwise she'd be killed
Claymore is quite depressive because of the sacrifices the characters make and rigid systems they work within, plus the questioning of their roles in life
Boys next door very dark oneshot dealing with homosexuality and prostitution
After school nightmare-this has a main character who's both a male and a female so she has major gender issues and gets melancholic about it a lot of the time